Monte Carlo Methods for Economic Capital

DOI10.1287/IJOC.2021.0261OpenAlexW4386541755MaRDI QIDQ6202348FDOQ6202348

Authors: Yajuan Li, Marvin K. Nakayama 

Publication date: 26 March 2024

Published in: INFORMS Journal on Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/ijoc.2021.0261

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zbMATH Keywords

importance samplingvalue-at-riskeconomic capital

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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