Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR} (Q2288917)
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scientific article; zbMATH DE number 7153546
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| English | Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR} |
scientific article; zbMATH DE number 7153546 |
Statements
Computation of the corrected Cornish-Fisher expansion using the response surface methodology: application to \textit{VaR} and \textit{CVaR} (English)
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20 January 2020
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Cornish-Fisher expansion
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response surface methodology
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quantiles
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value at risk
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expected shortfall
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0.7881333827972412
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0.7754760980606079
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0.7623478770256042
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0.7479982972145081
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