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"Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors."

Cheng-Der Fuh et al. (2011)

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DOI: 10.1287/OPRE.1110.0993

access: closed

type: Journal Article

metadata version: 2020-03-31

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  - https://dblp.org/rec/journals/ior/FuhHHW11
Cheng-Der Fuh, Inchi Hu, Ya-Hui Hsu, Ren-Her Wang:
Efficient Simulation of Value at Risk with Heavy-Tailed Risk Factors. Oper. Res. 59(6): 1395-1406 (2011)

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