"Variance reduction techniques for value-at-risk with heavy-tailed risk ..."

Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin (2000)

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DOI: 10.1109/WSC.2000.899769

access: closed

type: Conference or Workshop Paper

metadata version: 2023-03-24

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Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin:
Variance reduction techniques for value-at-risk with heavy-tailed risk factors. WSC 2000: 604-609

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