COLLEGE OF ARTS AND SCIENCES Department of Mathematics and Statistics

Seminars

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Applied Math Seminar: Value-at-Risk: Yet Another Normal Integration Problem

2007-01-24

3:10 PM, Webster B8

Alan Genz

Abstract: This talk will describe how the approximate computation of Value-at-Risk for a stock portfolio can be reduced to the problem of computing a multivariate normal integral over a hyperboloid. An efficient numerical method will be described for the computation of these integrals.