Stochastic models for risk estimation in volatile markets: a survey (Q993727)
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scientific article; zbMATH DE number 5788833
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| English | Stochastic models for risk estimation in volatile markets: a survey |
scientific article; zbMATH DE number 5788833 |
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Stochastic models for risk estimation in volatile markets: a survey (English)
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20 September 2010
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fat-tailed distributions
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stable distributions
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downside risk
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average value-at-risk
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conditional value-at-risk
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risk budgeting
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0.92101115
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0.9195792
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0.9189937
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0.91760284
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0.90503496
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0.9028669
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