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Risk estimation via regression
- Source :
- Operations Research. Sept-Oct, 2015, Vol. 63 Issue 5, p1077, 21 p.
- Publication Year :
- 2015
-
Abstract
- We introduce a regression-based nested Monte Carlo simulation method for the estimation of financial risk. An outer simulation level is used to generate financial risk factors and an inner simulation [...]
Details
- Language :
- English
- ISSN :
- 0030364X
- Volume :
- 63
- Issue :
- 5
- Database :
- Gale General OneFile
- Journal :
- Operations Research
- Publication Type :
- Periodical
- Accession number :
- edsgcl.434514050
- Full Text :
- https://doi.org/10.1287/opre.2015.1419