Efficient simulation of value at risk with heavy-tailed risk factors
type: Item
instance of: scholarly article
zbMATH Open document ID: 1241.91007
author: Cheng-Der Fuh
author: Inchi Hu
author: Ya-Hui Hsu
author: Ren-Her Wang
published in: Operations Research
publication date: 2012-06-26T00:00:00Z
Mathematics Subject Classification ID: 91-08
Mathematics Subject Classification ID: 91G80
Mathematics Subject Classification ID: 60-08
Mathematics Subject Classification ID: 60F10
Mathematics Subject Classification ID: 65C50
zbMATH DE Number: 6050628
zbMATH Keywords: importance sampling
zbMATH Keywords: moderate deviation
zbMATH Keywords: multivariate t distribution
zbMATH Keywords: quadratic approximation
zbMATH Keywords: component VaR
MaRDI profile type: Publication
OpenAlex ID: W2107514618
DOI: 10.1287/OPRE.1110.0993
title: Efficient simulation of value at risk with heavy-tailed risk factors
description: scientific article; zbMATH DE number 6050628