Two-stage nested simulation of tail risk measurement: a likelihood ratio approach

Two-stage nested simulation of tail risk measurement: a likelihood ratio approach

Estimating tail risk measures is an important task in many financial and actuarial applications and often requires nested simulations, with the outer simulations representing real world scenarios, and the inner simulations typically used for risk neutral pricing or conditional risk measurement. The...

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書目詳細資料
Main Authors:	Dang, Ou, Feng, Mingbin, Hardy, Mary R.
其他作者:	Nanyang Business School
格式:	Article
語言:	English
出版:	2023
主題:	Business::Finance::Risk management Nested Simulation Likelihood Ratio Method
在線閱讀:	https://hdl.handle.net/10356/164744
標簽:	添加標簽沒有標簽, 成為第一個標記此記錄!
機構:	Nanyang Technological University
語言:	English

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