Xinchong Zhang

Bloomberg L.P.

731 Lexington Avenue

New York, NY 10022

United States

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Scholarly Papers (1)

1.

Speeding Up VAR with Smart Monte Carlo

Number of pages: 34 Posted: 01 Mar 2018
Jan Dash and Xinchong Zhang
Bloomberg LP and Bloomberg L.P.
Downloads 94 (331,329)

Abstract:

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VAR, speedup, Smart Monte Carlo, SMC, efficiency, fewer calls, price look-ups