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Keywords: Genetic algorithm
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Journal Articles
Computing value-at-risk using genetic algorithm
Available to Purchase
Journal:
The Journal of Risk Finance
Journal of Risk Finance (2015) 16 (2): 170–189.
Published: 16 March 2015
..., and the 2008 financial crisis has given further impetus to finding new and reliable ways of evaluating and using VaR. In this study, the authors use genetic algorithm (GA) to evaluate VaR and compare the results with conventional VaR techniques. Design/methodology/approach – In essence, the authors...
