Nonlinear risk of linear instruments

zbMATH Open0989.91048MaRDI QIDQ2752035FDOQ2752035

Authors: Alexander Kreinin 

Publication date: 7 August 2002

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

zbMATH Keywords

normal approximationvalue-at-riskprofit and loss distribution

Mathematics Subject Classification ID

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)