Will Kenton is an expert on the economy and investing laws and regulations. He previously held senior editorial roles at Investopedia and Kapitall Wire and holds a MA in Economics from The New School ...

We study bounds on the Value-at-Risk (VaR) of a portfolio when besides the marginal distributions of the components its variance is also known, a situation that is of considerable interest in risk ...

This paper describes, analyzes and evaluates an algorithm for estimating portfolio loss probabilities using Monte Carlo simulation. Obtaining accurate estimates of such loss probabilities is essential ...