Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (Q3122061): Difference between revisions
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Latest revision as of 23:54, 3 October 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement |
scientific article |
Statements
Sequential Design and Spatial Modeling for Portfolio Tail Risk Measurement (English)
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20 March 2019
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value-at-risk estimation
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Gaussian process regression
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sequential design
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nested simulation
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portfolio tail risk
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