Nested Simulation in Portfolio Risk Measurement

DOI10.1287/mnsc.1100.1213zbMath1232.91622OpenAlexW3125471937MaRDI QIDQ3117320

Michael B. Gordy, Sandeep Juneja

Publication date: 27 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: http://www.federalreserve.gov/pubs/feds/2008/200821/200821pap.pdf

zbMATH Keywords

value-at-riskexpected shortfallnested simulationloss distribution

Mathematics Subject Classification ID

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