The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model. (Q1406488)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model. |
scientific article |
Statements
The practice of Delta--Gamma VaR: Implementing the quadratic portfolio model. (English)
0 references
4 September 2003
0 references
Value-at-risk
0 references
Risk analysis
0 references
Risk management
0 references
Finance
0 references
Stochastic processes
0 references
Simulation
0 references
Delta-Gamma-Theta VaR
0 references
Quadratic portfolios
0 references
