Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors (Q2893913)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors |
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Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors (English)
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26 June 2012
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importance sampling
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moderate deviation
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multivariate t distribution
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quadratic approximation
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component VaR
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