Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors

DOI10.1287/OPRE.1110.0993zbMath1241.91007OpenAlexW2107514618MaRDI QIDQ2893913

Inchi Hu, Cheng-Der Fuh, Ren-Her Wang, Ya-Hui Hsu

Publication date: 26 June 2012

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/f30b853df4574792d23ca490ca460a28e6c1ff6c

zbMATH Keywords

importance samplingmoderate deviationmultivariate t distributionquadratic approximationcomponent VaR

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Large deviations (60F10) Financial applications of other theories (91G80) Computational methods for problems pertaining to game theory, economics, and finance (91-08)

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