Computation of market risk measures with stochastic liquidity horizon (Q1639562): Difference between revisions
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Latest revision as of 13:06, 23 September 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Computation of market risk measures with stochastic liquidity horizon |
scientific article |
Statements
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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