Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC (Q3405433)
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scientific article; zbMATH DE number 5671494
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| English | Recursive computation of value-at-risk and conditional value-at-risk using MC and QMC |
scientific article; zbMATH DE number 5671494 |
Statements
Recursive Computation of Value-at-Risk and Conditional Value-at-Risk using MC and QMC (English)
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15 February 2010
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VaR
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CVaR
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central limit theorem
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stochastic approximation
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energy portfolio
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importance sampling
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Monte Carlo
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0.9412720799446106
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0.9108055830001832
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0.8097121715545654
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0.8033564686775208
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0.7988201379776001
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