Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (Q4795995): Difference between revisions

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Latest revision as of 13:12, 5 June 2024

scientific article; zbMATH DE number 1874574
Language Label Description Also known as
English
Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
scientific article; zbMATH DE number 1874574

    Statements

    Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (English)
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    13 March 2003
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    value-at risk
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    delta-gamma approximation
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    sampling
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    Monte Carlo simulation
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