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Efficient Monte Carlo methods for value-at-risk

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References

2001Value at Risk846 cited
2002Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors284 cited
1999Non-Linear Value-at-Risk98 cited

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2021Robust mean-risk portfolio optimization using machine learning-based trade-off parameter34 cited
2003Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors21 cited
2020Revisiting the accuracy of standard VaR methods for risk assessment: Using the Copula–EVT multidimensional approach for stock markets in the MENA region19 cited

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