\(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092)
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scientific article; zbMATH DE number 5563931
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| English | \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC |
scientific article; zbMATH DE number 5563931 |
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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0.88514197
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0.8705177
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0.8644726
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0.85650265
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0.85056895
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0.84861696
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0.8481485
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