Computation of market risk measures with stochastic liquidity horizon (Q1639562)

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Computation of market risk measures with stochastic liquidity horizon
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    title
    Computation of market risk measures with stochastic liquidity horizon (English)
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    publication date
    13 June 2018
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    Mathematics Subject Classification ID
    91G60
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    62P05
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    60E10
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    65T60
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    zbMATH DE Number
    6887297
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    zbMATH Keywords
    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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    describes a project that uses
    QRM
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    Sinc-Pack
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    OpenAlex ID
    W2558652874
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