A Fast Monte Carlo Algorithm for Estimating Value at Risk and Expected Shortfall

Ming-Hua Hsieh, Wei-Cheng Liao and Chuen-Lung Chen
The Journal of Derivatives Winter 2014, 22 (2) 50-66; DOI: https://doi.org/10.3905/jod.2014.22.2.050

Article Information

vol. 22 no. 2 50-66
DOI 
https://doi.org/10.3905/jod.2014.22.2.050
Published By 
Pageant Media Ltd
Print ISSN 
1074-1240
Online ISSN 
2168-8524
History 
  • Published online November 30, 2014.
Copyright & Usage 
© 2014 Institutional Investor, Inc.

Author Information

  1. Ming-Hua Hsieh
    1. is an associate professor in the Department of Risk Management and Insurance at National Chengchi University in Taiwan. (mhsieh{at}nccu.edu.tw)
  2. Wei-Cheng Liao
    1. is a Ph.D candidate in the Department of Management Information Systems at National Chengchi University in Taiwan. (97356505{at}nccu.edu.tw)
  3. Chuen-Lung Chen
    1. is a professor in the Department of Management Information Systems at National Chengchi University in Taiwan. (chencl{at}nccu.edu.tw)
  1. To order reprints of this article, please contact Dewey Palmieri at dpalmieri{at}iijournals.com or 212-224-3675.
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A Fast Monte Carlo Algorithm for Estimating Value at Risk and Expected Shortfall
Ming-Hua Hsieh, Wei-Cheng Liao, Chuen-Lung Chen
The Journal of Derivatives Nov 2014, 22 (2) 50-66; DOI: 10.3905/jod.2014.22.2.050
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