Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (Q278288)
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scientific article; zbMATH DE number 6575985
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| English | Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach |
scientific article; zbMATH DE number 6575985 |
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Efficient VaR and expected shortfall computations for nonlinear portfolios within the delta-gamma approach (English)
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2 May 2016
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market risk
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delta-gamma approximation
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value-at-risk
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expected shortfall
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Fourier transform
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Haar wavelets
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0.8623772859573364
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0.8287363648414612
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0.801988959312439
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0.797579288482666
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