Variance reduction techniques for value-at-risk with heavy-tailed risk factors

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2000, Pages 604-609

  Glasserman, Paul ^a   Heidelberger, Philip ^a   Shahabuddin, Perwez ^a  

^a Och Spine at New York Presbyterian Hospitals   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

ALGORITHMS; APPROXIMATION THEORY; COMPUTER SIMULATION; MONTE CARLO METHODS;

GAUSSIAN DISTRIBUTIONS; HEAVY-TAILED RISK FACTORS;

RISK ASSESSMENT;

EID: 0034428616     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

References (13)