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]
@inproceedings{HongL11-1, title = {Monte Carlo estimation of value-at-risk, conditional value-at-risk and their sensitivities}, author = {L. Jeff Hong and Guangwu Liu}, year = {2011}, url = {http://dl.acm.org/citation.cfm?id=2431531}, researchr = {https://researchr.org/publication/HongL11-1}, cites = {0}, citedby = {0}, pages = {95-107}, booktitle = {Winter Simulation Conference 2011, WSC'11, Phoenix, AZ, USA, December 11-14, 2011}, editor = {S. Jain and Roy R. Creasey Jr. and Jan Himmelspach and K. Preston White and Michael C. Fu}, publisher = {WSC}, }