VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (Q470430): Difference between revisions
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Latest revision as of 18:27, 9 December 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors |
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VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (English)
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12 November 2014
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capital allocation
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dynamic volatility
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risk management
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price risk in agriculture
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expected shortfall
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