VaR/CVaR estimation under stochastic volatility models (Q4979882)
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scientific article; zbMATH DE number 6305521
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| English | VaR/CVaR estimation under stochastic volatility models |
scientific article; zbMATH DE number 6305521 |
Statements
VaR/CVaR ESTIMATION UNDER STOCHASTIC VOLATILITY MODELS (English)
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19 June 2014
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stochastic volatility
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Fourier transform method
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importance sampling
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(conditional) value-at-risk
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backtesting
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0.8315359354019165
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0.8086299300193787
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0.7991666793823242
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