Statistical bootstrapping methods in VaR calculation

DOI10.1080/13504860110093504zbMath1013.91095OpenAlexW2018701977MaRDI QIDQ4551194

Thomas Siegl, Ansgar H. L. West

Publication date: 5 September 2002

Published in: Applied Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/13504860110093504

zbMATH Keywords

Monte Carloresamplingvariance reductionvalue-at-riskfinance

Mathematics Subject Classification ID

Statistical methods; economic indices and measures (91B82)

Cites Work

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• The Pricing of Options and Corporate Liabilities
• Uniformly distributed sequences with an additional uniform property
• The bootstrap and Edgeworth expansion

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