Risk management for linear and nonlinear assets: a bootstrap method with importance resampling to evaluate value-at-risk

DOI10.1007/S10690-007-9042-0zbMath1185.91095OpenAlexW2122220122MaRDI QIDQ2454819

Cheng-Der Fuh, Shih-Kuei Lin, Ren-Her Wang

Publication date: 22 October 2007

Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10690-007-9042-0

zbMATH Keywords

Monte Carlo simulationVariance reductionBootstrapValue-at-RiskMultivariate normal distributionHeavy-tailedImportance resamplingQuadratic approximation

Mathematics Subject Classification ID

Portfolio theory (91G10)

Uses Software

• bootstrap
• RiskMetrics

Cites Work

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• Variance Reduction Techniques for Estimating Value-at-Risk
• Efficient importance sampling for events of moderate deviations with applications
• Importance Sampling for Bootstrap Confidence Intervals
• Optimise importance sampling quantile estimation
• Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
• Portfolio Analysis in a Stable Paretian Market
• Probability
• The bootstrap and Edgeworth expansion

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