Work

Nested Simulation for Value-at-Risk with Precision Tolerance

Year: 2024

Type: conference-paper

Source: Winter Simulation Conference

DOI: 10.1109/wsc63780.2024.10838911

Authors: Xianyu Kuang, Guangwu Liu, Qianwen Zhu

Institution: City University of Hong Kong

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W4406612592

FWCI:

Cites: 13

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Related to: 10