Computation of market risk measures with stochastic liquidity horizon (Q1639562): Difference between revisions
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Revision as of 19:03, 29 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Computation of market risk measures with stochastic liquidity horizon |
scientific article |
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Computation of market risk measures with stochastic liquidity horizon (English)
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13 June 2018
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market risk
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liquidity risk
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stochastic liquidity horizon
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value-at-risk
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expected shortfall
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Shannon wavelets
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