Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk (Q991456)
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scientific article; zbMATH DE number 5780097
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| English | Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk |
scientific article; zbMATH DE number 5780097 |
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Asymptotic representations for importance-sampling estimators of value-at-risk and conditional value-at-risk (English)
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7 September 2010
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value-at-risk
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conditional value-at-risk
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importance sampling
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asymptotic representation
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0.8537386059761047
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0.8330197930335999
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0.8304714560508728
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0.8270708322525024
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0.8097121715545654
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