Value-at-risk with heavy-tailed risk factors.

Paul Glasserman Philip Heidelberger Perwez Shahabuddin

Published in: CIFEr (2000)

Keyphrases

risk factors
heavy tailed
high risk
risk assessment
risk management
risk analysis
heavy tails
generalized gaussian
statistical methods
decision support system
prior distribution
decision making
network security
unsupervised learning
knowledge discovery
multiresolution
multiscale
machine learning