IEEE - Institute of Electrical and Electronics Engineers, Inc. - A Hybrid Importance Sampling Algorithm for Value-at-Risk

2007 Second International Conference on Innovative Computing, Information and Control

Author(s): Tian-Shyr Dai ; Shih-Kuei Lin ; Li-Min Liu
Publisher: IEEE - Institute of Electrical and Electronics Engineers, Inc.
Publication Date: 1 September 2007
Conference Location: Kumamoto, Japan
Conference Date: 5 September 2007
Page(s): 208
ISBN (Paper): 0-7695-2882-1
DOI: 10.1109/ICICIC.2007.32
Regular:

Value-at-risk (VaR) provides a number that measures the risk of a financial portfolio under significant loss. Glasser- man et al. suggest that the performance of Mote Calo simulation can be... View More

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