RISK MEASURES AND CAPITAL REQUIREMENTS FOR PROCESSES

DOI10.1111/j.1467-9965.2006.00285.xzbMath1130.91030OpenAlexW1945597105MaRDI QIDQ3423396

Giacomo Scandolo, Marco Frittelli

Publication date: 22 February 2007

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/j.1467-9965.2006.00285.x

zbMATH Keywords

dual representationconvex risk measuresrisk measures for processescredit constraintgeneral capital requirement

Mathematics Subject Classification ID

Related Items (72)

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