The expected shortfall of quadratic portfolios with heavy-tailed risk factors (Q4919617)
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scientific article; zbMATH DE number 6163073
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| English | The expected shortfall of quadratic portfolios with heavy-tailed risk factors |
scientific article; zbMATH DE number 6163073 |
Statements
THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS (English)
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14 May 2013
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expected shortfall
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value at risk
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delta-gamma-theta approximation
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transform inversion
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multivariate \(t\) distribution
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saddlepoint approximation
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0.8238199353218079
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0.7802723050117493
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0.7535487413406372
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0.7433720827102661
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0.7419888973236084
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