Importance Sampling for Calculating the Value-at-Risk and Expected Shortfall of the Quadratic Portfolio with t-Distributed Risk Factors

In the banking industry, the calculation of regulatory capital by the Basel accords is directly related to the values of the Value-at-Risk (VaR) and expected shortfall (ES). The Monte Carlo simulation approach for calculating the VaR and ES is preferred, because it is able to incorporate a wide rang...

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