\(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC |
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Statements
\(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (English)
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10 June 2009
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capital allocation
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dynamic volatility
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risk management
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Solvency II
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VaR
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TVaR
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MGARCH
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mixture of elliptic distributions
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