Portfolio Value-at-Risk with Heavy-Tailed Risk Factors

DOI10.1111/1467-9965.00141zbMath1147.91325OpenAlexW3125310193MaRDI QIDQ4795995

Paul Glasserman, Perwez Shahabuddin, Philip Heidelberger

Publication date: 13 March 2003

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9965.00141

zbMATH Keywords

sampling Monte Carlo simulation delta-gamma approximation value-at risk

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Probability distributions: general theory (60E05) Characterization and structure theory of statistical distributions (62E10) Credit risk (91G40)

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