haku: @author Shahabuddin, P. / yhteensä: 1
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| 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. |
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