Tekijä: | Glasserman, P. Heidelberger, P. Shahabuddin, P. |
Otsikko: | Variance reduction techniques for estimating value-at-risk |
Lehti: | Management Science
2000 : OCT, VOL. 46:10, p. 1349-1364 |
Asiasana: | ALGORITHMS MONTE CARLO TECHNIQUE SIMULATION |
Vapaa asiasana: | VARIANCE REDUCTION TECHNIQUES |
Kieli: | eng |
Tiivistelmä: | This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential to calculating value-at-risk, which is a quantile of the loss distribution. |
SCIMA