Monte Carlo Methods for Value-at-Risk and Conditional Value-at-Risk
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Publication:5270722
DOI10.1145/2661631zbMath1369.91191OpenAlexW2083545691MaRDI QIDQ5270722
Guangwu Liu, Zhaolin Hu, L. Jeff Hong
Publication date: 30 June 2017
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1145/2661631
Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70) Monte Carlo methods (65C05)
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Uses Software
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