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Tian, Maozai’ AUTHOR PAGE
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E-Mail: mztian@ruc.edu.cn
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webpage: http://stat.ruc.edu.cn/en/faculty/faculty/21022.html
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Affiliation: Renmin University of China
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Saddle Point Approximation and Volatility Estimation of Value-at-Risk 2010
Chan, Ngai Hang
Tian, Maozai
 
Many of the techniques used in calculating VaR rely on simulations that can be difficult and time consuming. One of the objectives of this paper is to...
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