Estimates of Dynamic VaR and Mean Loss Associated to Diffusion Processes

DOI10.1214/074921708000000444MaRDI QIDQ3626715zbMATH OpenOpenAlexFDO

Authors Laurent Denis, Ana Meda, Begoña Fernández Fernández

Publication date 22 May 2009

Published in Institute of Mathematical Statistics Collections (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/074921708000000444

Mathematics Subject Classification ID

Extreme value theory; extremal stochastic processes (60G70) Diffusion processes (60J60)

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