Variance reduction techniques for value-at-risk with heavy-tailed risk factors.

Paul Glasserman Philip Heidelberger Perwez Shahabuddin

Published in: WSC (2000)

Keyphrases

risk factors
variance reduction
heavy tailed
risk assessment
monte carlo
risk management
sample size
statistical methods
generalized gaussian
importance sampling
network security
confidence intervals
prior distribution
data mining
learning algorithm
prior information