scientific article; zbMATH DE number 1253581

MaRDI QIDQ4226827zbMATH OpenFDO

Authors

Publication date 23 February 1999

Mathematics Subject Classification ID

Introductory exposition (textbooks, tutorial papers, etc.) pertaining to game theory, economics, and finance (91-01) Statistical methods; risk measures (91G70)

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• Risk management: Value at risk and beyond
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• Variance reduction technique for calculating value at risk in fixed income portfolios
• xVA: DEFINITION, EVALUATION AND RISK MANAGEMENT
• A Var Model of an Investment Cycle

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