An efficient approach to quantile capital allocation and sensitivity analysis (Q5204854)
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scientific article; zbMATH DE number 7140544
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | An efficient approach to quantile capital allocation and sensitivity analysis |
scientific article; zbMATH DE number 7140544 |
Statements
An efficient approach to quantile capital allocation and sensitivity analysis (English)
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5 December 2019
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bootstrap
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capital allocation
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expected shortfall
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nonparametric estimation
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sensitivity analysis
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value-at-risk
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0.7906814217567444
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0.7831446528434753
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0.7747194170951843
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0.7523970007896423
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0.7509844899177551
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