Nested simulation in portfolio risk measurement
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More about this item
KeywordsFinancial risk management ; Econometric models ; Jackknife (Statistics);
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2008-06-07 (All new papers)
- NEP-CMP-2008-06-07 (Computational Economics)
- NEP-RMG-2008-06-07 (Risk Management)
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