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"Value-at-risk with heavy-tailed risk factors."

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin (2000)

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DOI: 10.1109/CIFER.2000.844599

access: closed

type: Conference or Workshop Paper

metadata version: 2017-05-19

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  - conf/cifer/GlassermanHS00
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  - https://dblp.org/rec/conf/cifer/GlassermanHS00
Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
Value-at-risk with heavy-tailed risk factors. CIFEr 2000: 58-61

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