Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC

DOI10.1007/978-3-642-04107-5_11zbMath1182.91089OpenAlexW99771112MaRDI QIDQ3405433

Olivier Bardou, Noufel Frikha, Gilles Pagès

Publication date: 15 February 2010

Published in: Monte Carlo and Quasi-Monte Carlo Methods 2008 (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-04107-5_11

zbMATH Keywords

Monte Carloimportance samplingstochastic approximationcentral limit theoremCVaRVaRenergy portfolio

Mathematics Subject Classification ID

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