A calibrated scenario generation model for heavy-tailed risk factors

DOI10.1093/imaman/dpi044zbMath1281.62228MaRDI QIDQ5427773

Qui-Man Shao, Hao Wang, Hao Yu

Publication date: 27 November 2007

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpi044

zbMATH Keywords

Monte Carlo simulation; heavy tails; scenario generation; VaR; nonparametric method; VaR CI

Mathematics Subject Classification ID

62P05: Applications of statistics to actuarial sciences and financial mathematics

62G15: Nonparametric tolerance and confidence regions

91G10: Portfolio theory