Conditional VaR based on two-dimensional normal distribution

MaRDI QIDQ5436017zbMATH OpenFDO

Authors Chunlai Xiao, Wenyi Chai, Xibo Liu

Publication date 14 January 2008

zbMATH Keywords

conditional revenue ratioconditional VaRtwo-dimension normal distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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