Risk Management for Linear and Non-Linear Assets: A Bootstrap Method with Importance Resampling to Evaluate Value-at-Risk

Shih-Kuei Lin, Ren-Her Wang () and Cheng- Der Fuh

Asia-Pacific Financial Markets, 2006, vol. 13, issue 3, 295 pages

Keywords: Bootstrap; Heavy-tailed; Importance resampling; Monte Carlo simulation; Multivariate normal distribution; Multivariate t distribution; Quadratic approximation; Value-at-Risk; Variance reduction (search for similar items in EconPapers)
Date: 2006
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DOI: 10.1007/s10690-007-9042-0

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