摘要 : Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficulties caused by rare-event simulations. In this st... 展开
作者 | Koike~ Takaaki Minami~ Mihoko |
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作者单位 | |
期刊名称 | 《Quantitative finance》 |
总页数 | 19 |
语种/中图分类号 | 英语 / F |
关键词 | Value-at-risk Risk allocation Risk contributions VaR contributions Copulas Markov chain Monte Carlo Metropolis-Hastings algorithm |
馆藏号 | N2008EPST0001412 |