Reducing Variation of Risk Estimation by Using Importance Sampling

In today's world, risk measurement and risk management are of great importance for various economic reasons. Especially in the crisis periods, the tail risk becomes very important in risk estimation. Many methods have been developed for accurate measurement of risk. The easiest of these methods...

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Bibliografiske detaljer
Main Authors: Hatem Çoban, İpek Deveci Kocakoç, Şemsettin Erken, Mehmet Akif Aksoy
Format: Artigo
Sprog:Inglês
Udgivet: Istanbul University 2019-12-01
Serier:Alphanumeric Journal
Fag:
delta normal method
importance sampling
monte carlo simulation
tail risk
value at risk
Online adgang: http://alphanumericjournal.com/media/Issue/volume-7-issue-2-2019/reducing-variation-of-risk-estimation-by-using-importance-sa_z9RFQne.pdf
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