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W2097334018 abstract "We develop an observation that a simulation method introduced recently for heavy-tailed stochastic simulation, namely hazard-rate twisting, is equivalent to doing exponential twisting on a transformed version of the heavy-tailed random-variable; the transforming function is the hazard function. Using this approach, the paper develops efficient methods for computing portfolio value-at-risk (VAR) when changes in the underlying risk factors have the multivariate Laplace distribution." @default.
W2097334018 created "2016-06-24" @default.
W2097334018 creator A5040025789 @default.
W2097334018 creator A5069428342 @default.
W2097334018 date "2004-05-06" @default.
W2097334018 modified "2023-09-26" @default.
W2097334018 title "Rare-event, heavy-tailed simulations using hazard function transformations, with applications to value-at-risk" @default.
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W2097334018 doi "https://doi.org/10.1109/wsc.2003.1261434" @default.
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