Open Access
| Issue |
MATEC Web Conf.
Volume 387, 2023
9th International BAPT Conference “Power Transmissions 2023”
|
|
|---|---|---|
| Article Number | 06002 | |
| Number of page(s) | 4 | |
| Section | Other Relevant Subjects | |
| DOI | https://doi.org/10.1051/matecconf/202338706002 | |
| Published online | 06 November 2023 | |
- E. Indarwati and R. Kusumawati. Estimation of the Portfolio Risk from Conditional Value at Risk Using Monte Carlo Simulation. Jurnal Matematika Statistika dan Komputasi, vol. 17(3), 2021, pp.370-380, DOI: 10.20956/j.v17i3.11340 [CrossRef] [Google Scholar]
- J. Mrkonja and A. Zaimovic. Monte Carlo simulacija u funkciji mjerenja tržišnog rizika Value-At-Risk metodom Using a Monte Carlo simulation in measuring market risk with Value-atRisk method. Book. Publisher: Ekonomski fakulet u Sarajevu, Univerzitet u Sarajevu, 2021 [Google Scholar]
- Z. Zhang and X. Tu. The improvement of Monte Carlo method in VAR calculating. Journal of Computational Information Systems, vol. 4(5), 2008, pp.2375-2380 [Google Scholar]
- K. Vania and R. Gor. Back-testing approaches for validating var models. International Journal of Engineering Science Technologies, vol. 6(6), 2022, pp. 9–18 [CrossRef] [Google Scholar]
- A. Benhamed and M. Gassouma. Investigation and Modelling of Economic Systematic Risk and Capital Requirement: A Monte Carlo Simulation, Journal of Risk and Financial Management 16(4):241, 2023, DOI: 10.3390/jrfm16040241 [CrossRef] [Google Scholar]
- P. Brandimarte. Handbook in Monte Carlo Simulation Applications in Financial Engineering, Risk Management, and Economics. Publ. Wiley, 2022 [Google Scholar]
- A. Pereira and A. Gomes. Assessing Budget Risk with Monte Carlo and Time Series Bootstrap. U Porto Journal of Engineering 9(1), 2023, pp:1-15 [CrossRef] [Google Scholar]
- D. Sinha and S. Chakrabarty. A review of efficient Multilevel Monte Carlo algorithms for derivative pricing and risk management, MetodsX, Vol.10, 2023, DOI: 10.1016/j.mex.2023.102078 [Google Scholar]
- https://www.wallstreetmojo.com/norm-s-inv-function-in-excel/ [Google Scholar]
Current usage metrics show cumulative count of Article Views (full-text article views including HTML views, PDF and ePub downloads, according to the available data) and Abstracts Views on Vision4Press platform.
Data correspond to usage on the plateform after 2015. The current usage metrics is available 48-96 hours after online publication and is updated daily on week days.
Initial download of the metrics may take a while.