Variance Reduction Techniques for Estimating Value-at-Risk (Q3114651)

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Variance Reduction Techniques for Estimating Value-at-Risk
scientific article

    Statements

    title
    Variance Reduction Techniques for Estimating Value-at-Risk (English)
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    author
    Paul Glasserman
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    Philip Heidelberger
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    Perwez Shahabuddin
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    publication date
    19 February 2012
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    zbMATH Keywords
    value-at-risk
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    Monte Carlo simulation
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    variance reduction technique
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    Identifiers

    Mathematics Subject Classification ID
    91G40
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    91B30
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    91G60
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    zbMATH DE Number
    6007235
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