Simulation-based Value-at-Risk for nonlinear portfolios (Q5235455)
From MaRDI portal
scientific article; zbMATH DE number 7116175
Language | Label | Description | Also known as |
---|---|---|---|
English | Simulation-based Value-at-Risk for nonlinear portfolios |
scientific article; zbMATH DE number 7116175 |
Statements
Simulation-based Value-at-Risk for nonlinear portfolios (English)
0 references
11 October 2019
0 references
value-at-risk
0 references
least-squares Monte Carlo
0 references
American-type derivatives
0 references
high-dimensional portfolios
0 references