Raghu Nandan Sengupta

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Estimation for the Multiple Regression Setup Using Balanced Loss Function Raghu Nandan Sengupta & Sachin Srivastava To cite this article: Raghu Nandan Sengupta & Sachin Srivastava (2012) Estimation for the Multiple Regression Setup Using Balanced Loss Function, Communications in Statistics Simulation and Computation, 41:5, 653-670, DOI:(More)
This paper will try to look into the two important methods for the calculation of Value at Risk (VaR) for non linear portfolio using Monte Carlo Simulation method. The two techniques Closed form VaR and Multilevel Monte Carlo VaR for valuing the derivative portfolio are explained in details. In case of multilevel Monte Carlo simulation, it has been found(More)
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