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Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk

  • Shih-Kuei Lin
  • Ren-Her Wang

    ()

  • Cheng-Der Fuh
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    No abstract is available for this item.

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    File URL: http://hdl.handle.net/10.1007/s10690-007-9042-0
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    Article provided by Springer in its journal Asia-Pacific Financial Markets.

    Volume (Year): 13 (2006)
    Issue (Month): 3 (September)
    Pages: 261-295

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    Handle: RePEc:kap:apfinm:v:13:y:2006:i:3:p:261-295
    Contact details of provider: Web page: http://springerlink.metapress.com/link.asp?id=102851

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    1. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2002. "Portfolio Value-at-Risk with Heavy-Tailed Risk Factors," Mathematical Finance, Wiley Blackwell, vol. 12(3), pages 239-269.
    2. Benoit Mandelbrot, 1963. "The Variation of Certain Speculative Prices," The Journal of Business, University of Chicago Press, vol. 36, pages 394.
    3. Blattberg, Robert C & Gonedes, Nicholas J, 1974. "A Comparison of the Stable and Student Distributions as Statistical Models for Stock Prices," The Journal of Business, University of Chicago Press, vol. 47(2), pages 244-80, April.
    4. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 2000. "Variance Reduction Techniques for Estimating Value-at-Risk," Management Science, INFORMS, vol. 46(10), pages 1349-1364, October.
    5. Paul Glasserman & Philip Heidelberger & Perwez Shahabuddin, 1999. "Asymptotically Optimal Importance Sampling and Stratification for Pricing Path-Dependent Options," Mathematical Finance, Wiley Blackwell, vol. 9(2), pages 117-152.
    6. R. Cont, 2001. "Empirical properties of asset returns: stylized facts and statistical issues," Quantitative Finance, Taylor & Francis Journals, vol. 1(2), pages 223-236.
    7. Cheng-Der Fuh, 2004. "Efficient importance sampling for events of moderate deviations with applications," Biometrika, Biometrika Trust, vol. 91(2), pages 471-490, June.
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