A theoretical framework incorporating the basic convergence effect in the value-at-risk model (Q5454986)
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scientific article; zbMATH DE number 5257937
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| English | A theoretical framework incorporating the basic convergence effect in the value-at-risk model |
scientific article; zbMATH DE number 5257937 |
Statements
A theoretical framework incorporating the basic convergence effect in the value-at-risk model (English)
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3 April 2008
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VaR
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delta valuation
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basic convergence effect
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0.7095019221305847
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0.7083685994148254
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0.7039684057235718
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0.7011221647262573
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0.6997746229171753
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