Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (Q4795995): Difference between revisions
From MaRDI portal
Added link to MaRDI item. |
Set profile property. |
||
| Property / MaRDI profile type | |||
| Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank | |||
Revision as of 17:26, 5 March 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)
0 references
13 March 2003
0 references
value-at risk
0 references
delta-gamma approximation
0 references
sampling
0 references
Monte Carlo simulation
0 references
