Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (Q4795995): Difference between revisions
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Revision as of 14:28, 19 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)
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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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