@inproceedings{c95cdefe97254b6a9078e31c32bef9d7,
title = "A hybrid importance sampling algorithm for value-at-risk",
abstract = "Value-at-Risk (VaR) provides a number that measures the risk of a financial portfolio under significant loss. Glasserman et al. suggest that the performance of Mote Calo simulation can be improved by importance sampling [3]. However, their technique might perform poorly for some complex portfolios like shorting straddle options. In this paper, we investigate the hybrid importance sampling algorithm which can efficiently estimate the VaR for complex portfolios.",
author = "Dai, {Tian Shyr} and Lin, {Shih Kuei} and Liu, {Li Min}",
year = "2007",
month = jan,
day = "1",
doi = "10.1109/ICICIC.2007.32",
language = "English",
isbn = "0769528821",
series = "Second International Conference on Innovative Computing, Information and Control, ICICIC 2007",
publisher = "IEEE Computer Society",
booktitle = "Second International Conference on Innovative Computing, Information and Control, ICICIC 2007",
address = "美國",
note = "2nd International Conference on Innovative Computing, Information and Control, ICICIC 2007 ; Conference date: 05-09-2007 Through 07-09-2007",
}