Rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk

Winter Simulation Conference Proceedings

Volumn 1, Issue , 2003, Pages 276-284

  Huang, Zhi ^a   Shahabuddin, Perwez ^a  

^a Fu Foundation School of Engineering and Applied Science   (United States)

Author keywords

[No Author keywords available]

Indexed keywords

COMPUTATIONAL METHODS; COMPUTER SIMULATION; CORRELATION METHODS; ECONOMIC AND SOCIAL EFFECTS; FINANCE; HAZARDS; LAPLACE TRANSFORMS; RANDOM PROCESSES; SAMPLING;

INTEREST RATES; VALUE-AT-RISK (VAR);

RISK MANAGEMENT;

EID: 1642437943     PISSN: 02750708     EISSN: None     Source Type: Conference Proceeding    
DOI: None     Document Type: Conference Paper

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