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A spherical Monte Carlo approach for calculating value-at-risk and expected shortfall in financial risk management

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]

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