Efficient simulation for risk measurement in portfolio of CDOs

Proceedings - Winter Simulation Conference

Volumn , Issue , 2006, Pages 749-756

  Gordy, Michael ^a   Juneja, Sandeep ^b  

^a FEDERAL RESERVE BOARD   (United States)

^b TATA INSTITUTE OF FUNDAMENTAL RESEARCH   (India)

Author keywords

[No Author keywords available]

Indexed keywords

CADMIUM COMPOUNDS; ERROR ANALYSIS; ESTIMATION; MOBILE TELECOMMUNICATION SYSTEMS; RISK PERCEPTION; RISKS;

COMPUTATIONAL BUDGET; COMPUTATIONAL BURDEN; MEAN SQUARE (MS); RISK FACTORS; RISK MEASURE (RM); RISK MEASUREMENT; VALUE-AT-RISK (VAR);

RISK ASSESSMENT;

EID: 46149122102     PISSN: 08917736     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1109/WSC.2006.323155     Document Type: Conference Paper

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