A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management.
Huei-Wen TengPublished in: WSC (2017)
Keyphrases
- risk management
- monte carlo
- risk assessment
- decision support system
- chance discovery
- risk evaluation
- confidence intervals
- importance sampling
- risk analysis
- monte carlo simulation
- markov chain
- portfolio optimization
- financial institutions
- risk factors
- operational risk
- markovian decision
- project management
- financial services
- monte carlo methods
- adaptive sampling
- financial markets
- particle filter
- monte carlo tree search
- quasi monte carlo
- software projects
- game tree
- variance reduction
- management system
- optimal strategy