Strategic long-term financial risks: single risk factors

DOI10.1007/s10589-005-2054-7zbMath1085.90024MaRDI QIDQ2574059

Roger Kaufmann, Paul Embrechts, Pierre Patie

Publication date: 16 November 2005

Published in: Computational Optimization and Applications (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/20.500.11850/31605

zbMATH Keywords

random walk; extreme value theory; value-at-risk; autoregressive model; GARCH process; expected shortfall; scaling rules

Mathematics Subject Classification ID

90B60: Marketing, advertising

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Uses Software

• RiskMetrics

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