Publication:3003679

zbMath1222.60018MaRDI QIDQ3003679

Young Shin S. Kim, Michele Leonardo Bianchi, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 30 May 2011

Full work available at URL: http://www.math.uni.wroc.pl/~pms/files/30.2/Abstract/30.2.4.abs.pdf

zbMATH Keywords

infinitely divisible distribution; CVaR; tempered stable distribution; VaR; AVaR

Mathematics Subject Classification ID

60E07: Infinitely divisible distributions; stable distributions

91G10: Portfolio theory

91G40: Credit risk

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