PELVE: probability equivalent level of VaR and ES (Q2697992)
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scientific article; zbMATH DE number 7674661
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | PELVE: probability equivalent level of VaR and ES |
scientific article; zbMATH DE number 7674661 |
Statements
PELVE: probability equivalent level of VaR and ES (English)
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14 April 2023
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value-at-risk
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expected shortfall
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regulatory capital
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heavy tails
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portfolio diversification
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