Reduction of Value-at-Risk bounds via independence and variance information (Q4575463)
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scientific article; zbMATH DE number 6903660
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| English | Reduction of Value-at-Risk bounds via independence and variance information |
scientific article; zbMATH DE number 6903660 |
Statements
Reduction of Value-at-Risk bounds via independence and variance information (English)
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13 July 2018
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value-at-risk
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dependence uncertainty
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model risk
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expected shortfall
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0.9086252
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0.88817716
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0.8869889
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0.88096654
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0.8703131
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0.8695639
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0.86889154
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0.8662361
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