Simulation-based Value-at-Risk for nonlinear portfolios
From MaRDI portal
Publication:5235455
DOI10.1080/14697688.2019.1598568zbMath1422.91780arXiv1904.09088OpenAlexW2952335274MaRDI QIDQ5235455
Tony Sit, Hoi Ying Wong, Junyao Chen
Publication date: 11 October 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.09088
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