Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (Q1041011)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient risk simulations for linear asset portfolios in the \(t\)-copula model |
scientific article |
Statements
Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (English)
0 references
27 November 2009
0 references
risk management
0 references
importance sampling
0 references
linear asset portfolio
0 references
\(t\)-copula
0 references
generalized hyperbolic distribution
0 references
0 references
0 references
