Ren-Her Wang

Department of Finance, National Taiwan University

PhD

1 Sec. 4, Roosevelt Road

Taipei 106, 106

Taiwan

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Scholarly Papers (1)

1.

Efficient Computation of Value at Risk with Heavy-Tailed Risk Factors

22nd Australasian Finance and Banking Conference 2009
Number of pages: 24 Posted: 25 Aug 2009
Cheng-der Fuh, Inchi Hu, Kate Hsu and Ren-Her Wang
Academia Sinica, Hong Kong University of Science & Technology (HKUST) - Department of Information & Systems Management, University of Illinois at Urbana-Champaign and Department of Finance, National Taiwan University
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Abstract:

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Importance sampling, moderate deviation, multivariate t distribution, quadratic approximation, component VaR