Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G60
@@ Property / Mathematics Subject Classification ID: 91G60 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+Q91
@@ Property / Mathematics Subject Classification ID: 35Q91 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+M99
@@ Property / Mathematics Subject Classification ID: 65M99 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6575985
@@ Property / zbMATH DE Number: 6575985 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+market risk
@@ Property / zbMATH Keywords: market risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+delta-gamma approximation
@@ Property / zbMATH Keywords: delta-gamma approximation / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+value-at-risk
@@ Property / zbMATH Keywords: value-at-risk / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+expected shortfall
@@ Property / zbMATH Keywords: expected shortfall / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Fourier transform
@@ Property / zbMATH Keywords: Fourier transform / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+Haar wavelets
@@ Property / zbMATH Keywords: Haar wavelets / rank @@
+Normal rank

Revision as of 16:59, 27 June 2023