Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk
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Bibliographic InfoArticle provided by Springer in its journal Asia-Pacific Financial Markets.
Volume (Year): 13 (2006)
Issue (Month): 3 (September)
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Web page: http://springerlink.metapress.com/link.asp?id=102851
Bootstrap; Heavy-tailed; Importance resampling; Monte Carlo simulation; Multivariate normal distribution; Multivariate t distribution; Quadratic approximation; Value-at-Risk; Variance reduction;
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