Moment based approaches to Value the Risk of contingent claim portfolios (Q1026540)
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scientific article; zbMATH DE number 5570689
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Moment based approaches to Value the Risk of contingent claim portfolios |
scientific article; zbMATH DE number 5570689 |
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Moment based approaches to Value the Risk of contingent claim portfolios (English)
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25 June 2009
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Value at Risk
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contingent claims
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delta-gamma approximation
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distributional moments
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heavy tails
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asymmetry
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0.7370784282684326
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0.7329041957855225
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0.729520320892334
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0.7286203503608704
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