Stable modeling of value at risk (Q1600544)

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Stable modeling of value at risk
scientific article

    Statements

    title
    Stable modeling of value at risk (English)
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    publication date
    13 June 2002
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    zbMATH Keywords
    market risks
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    value-at-risk
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    VAR computations
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    stable Paretian distributions
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    author
    Irina Khindanova
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    Svetlozar T. Rachev
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    Eduardo S. Schwartz
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91B28
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    60E07
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    91B24
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    zbMATH DE Number
    1755440
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