Monte Carlo Methods for Economic Capital

DOI10.1287/IJOC.2021.0261MaRDI QIDQ6202348zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

importance samplingvalue-at-riskeconomic capital

Mathematics Subject Classification ID

Mathematical programming (90Cxx)

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