Implementing the Rearrangement Algorithm: An Example from Computational Risk Management
After a brief overview of aspects of computational risk management, the implementation of the rearrangement algorithm in R is considered as an example from computational risk management practice. This algorithm is used to compute the largest quantile (worst value-at-risk) of the sum of the component...
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| Format: | Article |
| Language: | English |
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MDPI AG
2020-05-01
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| Series: | Risks |
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| Online Access: | https://www.mdpi.com/2227-9091/8/2/47 |