A new variance reduction technique for estimating value-at-risk (Q4682473)
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scientific article; zbMATH DE number 6938620
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A new variance reduction technique for estimating value-at-risk |
scientific article; zbMATH DE number 6938620 |
Statements
A New Variance Reduction Technique for Estimating Value-at-Risk (English)
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18 September 2018
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value-at-risk
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Monte Carlo simulation
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variance reduction
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importance sampling
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stratified sampling
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0.9212825298309326
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0.8450442552566528
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0.825334370136261
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0.8202149868011475
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