Efficient Randomized Quasi-Monte Carlo Methods For Portfolio Market Risk

We consider the problem of simulating loss probabilities and conditional excesses for linear asset portfolios under the t-copula model. Although in the literature on market risk management there are papers proposing efficient variance reduction methods for Monte Carlo simulation of portfolio market risk, there is no paper discussing combining the randomized quasi-Monte Carlo method with variance reduction techniques. In this paper, we combine the randomized quasi-Monte Carlo method with importan...