Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks (Q4461283)
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scientific article; zbMATH DE number 2063693
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| default for all languages | No label defined |
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| English | Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks |
scientific article; zbMATH DE number 2063693 |
Statements
Analytical Evaluation of Economic Risk Capital for Portfolios of Gamma Risks (English)
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30 March 2004
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risk-adjusted capital
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comonotonicity
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additivity
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stop-loss order
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0.8061427474021912
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0.7833782434463501
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0.7718518376350403
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0.7595531344413757
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