Nonlinear risk of linear instruments

MaRDI QIDQ2752035zbMATH OpenFDO

Authors Alexander Kreinin

Publication date 7 August 2002

zbMATH Keywords

normal approximationvalue-at-riskprofit and loss distribution

Mathematics Subject Classification ID

Recommendations

• Non-Linear Value-at-Risk *
• Accounting for risk of non linear portfolios. A novel Fourier approach
• Small perturbations with large effects on value-at-risk
• Nonparametric risk management and implied risk aversion
• scientific article; zbMATH DE number 1978950

Cited in

(1)

• On a nonlinear risk analysis for stock market indexes

This page was built for publication: Nonlinear risk of linear instruments

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2752035)