Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin. Value-at-risk with heavy-tailed risk factors. In Proceedings of the IEEE/IAFE/INFORMS 2000 Conference on Computational Intelligence for Financial Engineering, CIFEr 2000, New York City, USA, March 28, 2000. pages 58-61, IEEE, 2000. [doi]
Abstract is missing.