Virtual historical simulation for estimating the conditional VaR of large portfolios (Q2190229)
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scientific article
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| English | Virtual historical simulation for estimating the conditional VaR of large portfolios |
scientific article |
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Virtual historical simulation for estimating the conditional VaR of large portfolios (English)
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18 June 2020
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accuracy of VaR estimation
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dynamic portfolio
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estimation risk
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filtered historical simulation
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virtual returns
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0.7881628274917603
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0.7580991387367249
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0.7523662447929382
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0.7408279776573181
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