Variance Reduction Techniques for Estimating Value-at-Risk

DOI10.1287/mnsc.46.10.1349.12274zbMath1232.91348OpenAlexW2034107358MaRDI QIDQ3114651

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin

Publication date: 19 February 2012

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/9b58a92735afa1297ff2e0e7930c478592a0be1b

zbMATH Keywords

Monte Carlo simulationvalue-at-riskvariance reduction technique

Mathematics Subject Classification ID

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