A calibrated scenario generation model for heavy-tailed risk factors (Q5427773): Difference between revisions
From MaRDI portal
Set profile property. |
Set OpenAlex properties. |
||
Property / full work available at URL | |||
Property / full work available at URL: https://doi.org/10.1093/imaman/dpi044 / rank | |||
Normal rank | |||
Property / OpenAlex ID | |||
Property / OpenAlex ID: W1988291812 / rank | |||
Normal rank |
Latest revision as of 15:37, 19 March 2024
scientific article; zbMATH DE number 5214621
Language | Label | Description | Also known as |
---|---|---|---|
English | A calibrated scenario generation model for heavy-tailed risk factors |
scientific article; zbMATH DE number 5214621 |
Statements
A calibrated scenario generation model for heavy-tailed risk factors (English)
0 references
27 November 2007
0 references
VaR
0 references
VaR CI
0 references
heavy tails
0 references
nonparametric method
0 references
Monte Carlo simulation
0 references
scenario generation
0 references