{"entities":{"Q278288":{"pageid":280055,"ns":120,"title":"Item:Q278288","lastrevid":60597708,"modified":"2026-04-10T17:57:23Z","type":"item","id":"Q278288","labels":{"en":{"language":"en","value":"Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach"}},"descriptions":{"en":{"language":"en","value":"scientific article; zbMATH DE number 6575985"}},"aliases":{},"claims":{"P31":[{"mainsnak":{"snaktype":"value","property":"P31","hash":"fd5912e4dab4b881a8eb0eb27e7893fef55176ad","datavalue":{"value":{"entity-type":"item","numeric-id":56887,"id":"Q56887"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$32B24EEC-FF03-4E13-8AF7-149548A19382","rank":"normal"}],"P159":[{"mainsnak":{"snaktype":"value","property":"P159","hash":"3ae2f64743649fbb6f42ca53cb197c979aa0eae9","datavalue":{"value":{"text":"Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach","language":"en"},"type":"monolingualtext"},"datatype":"monolingualtext"},"type":"statement","id":"Q278288$479DBBE3-0955-4223-A06B-C67B144375E7","rank":"normal"}],"P225":[{"mainsnak":{"snaktype":"value","property":"P225","hash":"492dff5ae725025f79c49688170ede4eb19b1212","datavalue":{"value":"1335.91107","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$2EF4D867-A777-409F-B2FD-327FCF20284C","rank":"normal"}],"P16":[{"mainsnak":{"snaktype":"value","property":"P16","hash":"78cb0570777922e0ecaa17545ef42e373a198a74","datavalue":{"value":{"entity-type":"item","numeric-id":278287,"id":"Q278287"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$099FA11C-4439-4DC6-91E7-D858248E83A1","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P16","hash":"df5b684d197c2aa17c77d380cdb87ac47a4a9a34","datavalue":{"value":{"entity-type":"item","numeric-id":592663,"id":"Q592663"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$9D9698F2-7692-4C5D-9AC4-729A0A8F88CD","rank":"normal"}],"P200":[{"mainsnak":{"snaktype":"value","property":"P200","hash":"add6fb6b993c46c88f8cbd1c0026e2e785c9381d","datavalue":{"value":{"entity-type":"item","numeric-id":70476,"id":"Q70476"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$B3B944A7-E52A-4851-9D18-10BFE23A53D5","rank":"normal"}],"P28":[{"mainsnak":{"snaktype":"value","property":"P28","hash":"0e456fdb4844415eea923a6e1b531b0c6eec91b1","datavalue":{"value":{"time":"+2016-05-02T00:00:00Z","timezone":0,"before":0,"after":0,"precision":11,"calendarmodel":"http://www.wikidata.org/entity/Q1985727"},"type":"time"},"datatype":"time"},"type":"statement","id":"Q278288$2A9DBEA7-BD3B-4C8F-9E8A-F3324634AC6A","rank":"normal"}],"P205":[{"mainsnak":{"snaktype":"value","property":"P205","hash":"eb51e721e1a19c1673b25a23e94924ed756b2b80","datavalue":{"value":"https://ir.cwi.nl/pub/22544","type":"string"},"datatype":"url"},"type":"statement","id":"Q278288$301961C4-C4A6-40BC-A447-7156E1DB7F7A","rank":"normal"}],"P226":[{"mainsnak":{"snaktype":"value","property":"P226","hash":"e2004744ca6d6853aa39418c1f8e5dbee3912468","datavalue":{"value":"91G60","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$DA30571F-3998-4680-85B3-92A73CCEA969","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"7f918b855cc4e1ef3c50dee94916276dca231342","datavalue":{"value":"91G10","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$7A5E62BE-8F4B-45DA-98A8-CE34F25FDD0D","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"d6697538cb7a6024fa739eee05a1f012ecc891dc","datavalue":{"value":"35Q91","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$A149B614-5926-473F-9875-A8EEFDE03CC5","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P226","hash":"9ed32108d7f35f0f959483ed66550ed6f7c5061f","datavalue":{"value":"65M99","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$703A51DE-E90B-4384-BC9D-EACEC0A4E062","rank":"normal"}],"P1451":[{"mainsnak":{"snaktype":"value","property":"P1451","hash":"854a06e638240ac03878a8fd3963cb0d4d74ec2d","datavalue":{"value":"6575985","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$22A011A7-D51B-4A1F-9714-699A0BC74FD1","rank":"normal"}],"P1450":[{"mainsnak":{"snaktype":"value","property":"P1450","hash":"3a90f99c4aad09391e6fcc9c4b9fd3ca523a5207","datavalue":{"value":"market risk","type":"string"},"datatype":"string"},"type":"statement","id":"Q278288$7D24B797-31D4-4B79-8B24-51390B72C38A","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"2422893366ec31fd390958bfff2b1d1a995e5c4d","datavalue":{"value":"delta-gamma approximation","type":"string"},"datatype":"string"},"type":"statement","id":"Q278288$2DD325E1-E9CF-4418-ABB8-1F89E14A5177","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"9effbd77275abc34efef0c019cc670fa9c4fd521","datavalue":{"value":"value-at-risk","type":"string"},"datatype":"string"},"type":"statement","id":"Q278288$A5628DB3-8956-4804-A121-BC452282A045","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"44c89c2af644eba2b4f27d4db9b90c844f51b236","datavalue":{"value":"expected shortfall","type":"string"},"datatype":"string"},"type":"statement","id":"Q278288$000DEFB2-B5FD-4CFF-8C9B-24A3558A741E","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"994d7c10a73037bc0ad3d751aaec1f75d12928c0","datavalue":{"value":"Fourier transform","type":"string"},"datatype":"string"},"type":"statement","id":"Q278288$4D139E16-CC21-42E5-96A6-383A088A15B8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1450","hash":"b35be32e2d97fdc8e85b1b9594c9485666aca895","datavalue":{"value":"Haar wavelets","type":"string"},"datatype":"string"},"type":"statement","id":"Q278288$5A08DBCB-E151-4F24-812A-08C2AF1E7EB5","rank":"normal"}],"P1460":[{"mainsnak":{"snaktype":"value","property":"P1460","hash":"57f7fea50d2ce1b39b695c4a1313582eed405e38","datavalue":{"value":{"entity-type":"item","numeric-id":5976449,"id":"Q5976449"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$15C49DF5-2C3A-4E53-ACD2-9C0CE1DBE4C4","rank":"normal"}],"P388":[{"mainsnak":{"snaktype":"value","property":"P388","hash":"ce127f1caafb1115142885121ffe850261e83366","datavalue":{"value":"W3126144252","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$A43B8FF7-9938-4726-A236-BE52A5C1BCC0","rank":"normal"}],"P223":[{"mainsnak":{"snaktype":"value","property":"P223","hash":"dfeb69db1fe5b127ae519aea2957e67db3478211","datavalue":{"value":{"entity-type":"item","numeric-id":2757301,"id":"Q2757301"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$3840DA8D-FC00-4F05-953A-7B8C4037C589","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b4642ab315fe98f56488bfe864d10fe10e919c15","datavalue":{"value":{"entity-type":"item","numeric-id":614629,"id":"Q614629"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$237564A6-FD28-44C6-9457-C383DF3CFBA0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"694d57d88ddd746926bc8a685f2cdba5c3f72f6f","datavalue":{"value":{"entity-type":"item","numeric-id":4264093,"id":"Q4264093"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$A176925E-24BF-4F6D-9F80-127543E240CD","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9d0fe5b9c0f77e343dd06834f1101f8165e40b5f","datavalue":{"value":{"entity-type":"item","numeric-id":4003891,"id":"Q4003891"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$FE8AA4F7-E507-4449-AB34-34DEE4029AEA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"9425ec139fb2be9ad225f63e821dea25df7c0330","datavalue":{"value":{"entity-type":"item","numeric-id":5936313,"id":"Q5936313"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$E56C8D3F-D459-4066-9885-F4E5B1381D48","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"3a6e3da03626231a66efa320b8d3e3fa99748dc7","datavalue":{"value":{"entity-type":"item","numeric-id":99433,"id":"Q99433"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$AED8248A-1064-439E-8F51-5B589EBF06C7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"389bdd9ee1ce6248ac17981271921f651684fcb3","datavalue":{"value":{"entity-type":"item","numeric-id":2757298,"id":"Q2757298"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$2A3C1CBE-7D6C-484A-AA5B-5604355D9750","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"54800d9c0ffb4dd06ac16b8a0677d03d37ea8052","datavalue":{"value":{"entity-type":"item","numeric-id":4795995,"id":"Q4795995"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$ED6E7A8F-5A33-4D73-9436-C91DA7FD5A15","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"b2c3418a016608cf13986fc82aa0cb8f084fe88d","datavalue":{"value":{"entity-type":"item","numeric-id":4376206,"id":"Q4376206"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$EFFA0D32-9BB4-4518-872F-C3C47F6DC0E0","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"739a1ced3411e70f87f70dc47676fdaac1f973a5","datavalue":{"value":{"entity-type":"item","numeric-id":5245913,"id":"Q5245913"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$8106F0D4-4F7B-47EA-AAFE-6F4B0ABE8ADA","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"25ce08c04510a7fbace3565c772229f2519abc7d","datavalue":{"value":{"entity-type":"item","numeric-id":4004320,"id":"Q4004320"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$112C530F-0921-45D5-8BB6-A83CAC325B41","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"5bf462c08c8e598d5b766c5277928c2eea5b7503","datavalue":{"value":{"entity-type":"item","numeric-id":2253075,"id":"Q2253075"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$6F4E61D8-9146-4B5A-AD56-C0FED9F333F2","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P223","hash":"4da0723390c9275ef76e3f2016dea24115e40685","datavalue":{"value":{"entity-type":"item","numeric-id":2870656,"id":"Q2870656"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","id":"Q278288$B97A1B68-34F3-4045-9682-FF92655B344E","rank":"normal"}],"P27":[{"mainsnak":{"snaktype":"value","property":"P27","hash":"2a94dd42fd5caf76376b8604f18ae373c1ad7b10","datavalue":{"value":"10.1016/J.AMC.2014.06.110","type":"string"},"datatype":"external-id"},"type":"statement","id":"Q278288$3E82B3DD-A3A0-4B07-B6EE-4907876A39B9","rank":"normal"}],"P1643":[{"mainsnak":{"snaktype":"value","property":"P1643","hash":"465339e58f9e0a1bb4e957b177d91d1963992375","datavalue":{"value":{"entity-type":"item","numeric-id":614629,"id":"Q614629"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"58b6be21871a33df2c4374a870c703e8ba4d2b3c","datavalue":{"value":{"amount":"+0.8623772859573364","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q278288$96F67994-C857-428B-B278-4269FD73CEE7","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"f110acb4a82120f0a02aeeb7b670a09dd505d70a","datavalue":{"value":{"entity-type":"item","numeric-id":1406488,"id":"Q1406488"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"011750d39af4ec8e9c1e6f6915df2d631a958996","datavalue":{"value":{"amount":"+0.8287363648414612","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q278288$11D8789B-337A-40CA-9A5E-C7E6CC8D84AE","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"cce1d7448c5880361048c24f83927347ac027859","datavalue":{"value":{"entity-type":"item","numeric-id":4610240,"id":"Q4610240"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"d060bc2da1d2c9e59fb9a8d0f1e2960086a9d5ba","datavalue":{"value":{"amount":"+0.801988959312439","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q278288$A1276FD7-919E-4E58-AA22-8FB2EEC996C8","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"0b01c70dc67e1b491efb19800e44cdfa280d33b4","datavalue":{"value":{"entity-type":"item","numeric-id":4264093,"id":"Q4264093"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"ef21cfd62e5eb8bd7137c568942b8da52e550d02","datavalue":{"value":{"amount":"+0.797579288482666","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q278288$8EDFD1B1-2F8C-4B37-AFFA-65F0C87FCA7B","rank":"normal"},{"mainsnak":{"snaktype":"value","property":"P1643","hash":"eaa3e48d426fee378dba701e3bb7b7273cae35fc","datavalue":{"value":{"entity-type":"item","numeric-id":292380,"id":"Q292380"},"type":"wikibase-entityid"},"datatype":"wikibase-item"},"type":"statement","qualifiers":{"P1659":[{"snaktype":"value","property":"P1659","hash":"13854e3b53800d47292aee1fce74e6ceee7b7f0b","datavalue":{"value":{"amount":"+0.7975730895996094","unit":"1"},"type":"quantity"},"datatype":"quantity"}],"P1660":[{"snaktype":"value","property":"P1660","hash":"a327a09ea0305e98d5cf33bd4036320e19f2aed0","datavalue":{"value":{"entity-type":"item","numeric-id":6821328,"id":"Q6821328"},"type":"wikibase-entityid"},"datatype":"wikibase-item"}]},"qualifiers-order":["P1659","P1660"],"id":"Q278288$446CDD56-89B3-4638-AE8C-69470A356089","rank":"normal"}]},"sitelinks":{"mardi":{"site":"mardi","title":"Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach","badges":[],"url":"https://portal.mardi4nfdi.de/wiki/Efficient_VaR_and_expected_shortfall_computations_for_nonlinear_portfolios_within_the_delta-gamma_approach"}}}}}