Huei-Wen Teng. A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management. In 2017 Winter Simulation Conference, WSC 2017, Las Vegas, NV, USA, December 3-6, 2017. pages 469-480, IEEE, 2017. [doi]
@inproceedings{Teng17-2,
title = {A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management},
author = {Huei-Wen Teng},
year = {2017},
doi = {10.1109/WSC.2017.8247808},
url = {https://doi.org/10.1109/WSC.2017.8247808},
researchr = {https://researchr.org/publication/Teng17-2},
cites = {0},
citedby = {0},
pages = {469-480},
booktitle = {2017 Winter Simulation Conference, WSC 2017, Las Vegas, NV, USA, December 3-6, 2017},
publisher = {IEEE},
isbn = {978-1-5386-3428-8},
}