Stable modeling of value at risk
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Publication:1600544
DOI10.1016/S0895-7177(01)00129-7zbMATH Open1008.91063OpenAlexW2033174532MaRDI QIDQ1600544FDOQ1600544
Eduardo S. Schwartz, Irina N. Khindanova, Svetlozar T. Rachev
Publication date: 13 June 2002
Published in: Mathematical and Computer Modelling (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0895-7177(01)00129-7
Recommendations
Infinitely divisible distributions; stable distributions (60E07) Microeconomic theory (price theory and economic markets) (91B24)
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Cited In (19)
- Regulation Risk
- Empirical Issues in Value-at-Risk
- The axiomatic basis of risk-value models
- Computing the portfolio conditional value-at-risk in the \(\alpha\)-stable case
- A structure for general and specific market risk
- Title not available (Why is that?)
- Statistical methodologies for the market risk measurement
- Risk management using VaR simulation with applications to Bucharest stock exchange
- The stable non-Gaussian asset allocation: a comparison with the classical Gaussian approach
- The impact of fat tails on equilibrium rates of return and term premia
- Title not available (Why is that?)
- Title not available (Why is that?)
- A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
- A comparison of several time-series models for assessing the value at risk of shares
- A semi-analytical method for VaR and credit exposure analysis
- Stable modeling in energy risk management
- Value at risk: Recent advances
- Title not available (Why is that?)
- Indirect estimation of \(\alpha \)-stable stochastic volatility models
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