Results 271 to 280 of about 2,627,208 (304)
Some of the next articles are maybe not open access.
Acceleration of Market Value-at-Risk Estimation
SSRN Electronic Journal, 2009The proliferation of algorithmic trading, derivative usage and highly leveraged hedge funds necessitates the acceleration of market Value-at-Risk (VaR) estimation to measure the severity of portfolios losses. This paper demonstrates how solely relying on advances in computer hardware to accelerate market VaR estimation overlooks significant ...
Matthew Dixon, Jike Chong, Kurt Keutzer
openaire +1 more source
Regenerative Simulation for Estimating Extreme Values
Operations Research, 1983Let X(t) denote the regenerative process being simulated and assume that it converges in distribution to a steady state random variable. This paper considers estimating the extreme values of the regenerative process. Suppose we are interested in the largest value attained in the interval [0, t], call it X*(t).
Donald L. Iglehart, Mark L. Stone
openaire +1 more source
On the value of estimating the value of a statistical life [PDF]
Swiss Journal of Economics and Statistics, 2001 In this note I discuss the problems of defining and measuring the value of preventing a fatality. A measure reflecting remaining expected present value utility is derived. It is shown that in general the empirical estimate of this measure is biased. This fact complicates the analysis of the value of applying a measure expected to prevent a fatality ...
openaire