A new algorithm based on copulas for VaR valuation with empirical calculations.
Gang ChengPing LiPeng ShiPublished in: Theor. Comput. Sci. (2007)
Keyphrases
- improved algorithm
- computational complexity
- optimization algorithm
- computational cost
- similarity measure
- detection algorithm
- theoretical analysis
- experimental evaluation
- simulated annealing
- convergence rate
- tree structure
- expectation maximization
- dynamic programming
- learning algorithm
- k means
- preprocessing
- worst case
- objective function
- convex hull
- search space
- segmentation algorithm
- high accuracy
- lower bound
- clustering method
- monte carlo
- classification algorithm
- matching algorithm
- significant improvement
- neural network
- recognition algorithm
- selection algorithm