A calibrated scenario generation model for heavy-tailed risk factors
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Publication:5427773
DOI10.1093/imaman/dpi044zbMath1281.62228OpenAlexW1988291812MaRDI QIDQ5427773
Qui-Man Shao, Hao Wang, Hao Yu
Publication date: 27 November 2007
Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/imaman/dpi044
Applications of statistics to actuarial sciences and financial mathematics (62P05) Nonparametric tolerance and confidence regions (62G15) Portfolio theory (91G10)
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