Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (Q4795995)
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scientific article; zbMATH DE number 1874574
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Portfolio Value-at-Risk with Heavy-Tailed Risk Factors |
scientific article; zbMATH DE number 1874574 |
Statements
Portfolio Value-at-Risk with Heavy-Tailed Risk Factors (English)
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13 March 2003
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value-at risk
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delta-gamma approximation
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sampling
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Monte Carlo simulation
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0.8738446235656738
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0.822494626045227
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0.8056723475456238
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0.8049542903900146
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0.8021384477615356
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