论文信息 - Using Quasi-Monte Carlo Scenarios in Risk Management*

Using Quasi-Monte Carlo Scenarios in Risk Management*

We report on the use of quasi-random numbers in searching for worstcase scenarios of security portfolios. A systematic search for the worst-case scenario requires to find the global minimum of the portfolio-value function within a search domain of all plausible scenarios, which usually is an ellipsoid in the high dimensional space of risk factors.

Filip Pistovcak | Thomas Breuer | T. Breuer | Filip Pistovčák

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