L. Jeff Hong, Guangwu Liu. Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities. In S. Jain, Roy R. Creasey Jr., Jan Himmelspach, K. Preston White, Michael C. Fu, editors, Winter Simulation Conference 2011, WSC'11, Phoenix, AZ, USA, December 11-14, 2011. pages 95-107, WSC, 2011. [doi]
Abstract is missing.