An approach to VaR for capital markets with Gaussian mixture

Applied Mathematics and Computation

Volumn 168, Issue 2, 2005, Pages 1079-1085

  Zhang, Ming Heng ^a   Cheng, Qian Sheng ^b  

^a SHANGHAI UNIVERSITY OF FINANCE AND ECONOMICS   (China)

^b PEKING UNIVERSITY   (China)

Author keywords

Gaussian mixture; Parallel Computation; Value at risk; VaR

Indexed keywords

MARKETING; PARALLEL PROCESSING SYSTEMS; RISK ASSESSMENT;

EMPIRICAL COMPUTATION; GAUSSIAN MIXTURES; PARALLEL COMPUTATION; VALUE-AT-RISK (VAR);

COMPUTATIONAL METHODS;

EID: 26044476910     PISSN: 00963003     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.amc.2004.10.004     Document Type: Article

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