Moment based approaches to Value the Risk of contingent claim portfolios

DOI10.1007/s10479-007-0306-xzbMath1163.91404OpenAlexW2049055388MaRDI QIDQ1026540

Fabio Lamantia, Sergio Ortobelli, Gaetano Iaquinta, Ivar Massabò

Publication date: 25 June 2009

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-007-0306-x

zbMATH Keywords

asymmetryheavy tailsdelta-gamma approximationcontingent claimsValue at Riskdistributional moments

Mathematics Subject Classification ID

Related Items (3)

Sensitivity of portfolio VaR and CVaR to portfolio return characteristics ⋮ Certainty equivalent measures of risk ⋮ Moment based approaches to Value the Risk of contingent claim portfolios

Uses Software

• RiskMetrics

Cites Work

• Moment based approaches to Value the Risk of contingent claim portfolios
• Quasi-likelihood and its application. A general approach to optimal parameter estimation
• Quasi-likelihood estimation for semimartingales
• An extension of quasi-likelihood estimation
• Robust estimation through estimating equations
• The foundations of finite sample estimation in stochastic processes
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• Conditional likelihood and unconditional optimum estimating equations
• Portfolio Analysis in a Stable Paretian Market
• An Optimum Property of Regular Maximum Likelihood Estimation
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