VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (Q470430)
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scientific article; zbMATH DE number 6368785
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| English | VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors |
scientific article; zbMATH DE number 6368785 |
Statements
VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (English)
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12 November 2014
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capital allocation
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dynamic volatility
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risk management
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price risk in agriculture
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expected shortfall
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0.7886508703231812
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0.7850235104560852
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0.7627419233322144
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0.7469116449356079
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