scientific article; zbMATH DE number 1538076

MaRDI QIDQ4518938zbMATH OpenFDO

Authors Phornchanok J. Cumperayot, Bjørn N. Jorgensen, J. Danielsson, Casper G. de Vries

Publication date 3 December 2000

zbMATH Keywords

value at riskuncomplete markets

Mathematics Subject Classification ID

Recommendations

• Equilibrium impact of value-at-risk regulation
• Empirical Issues in Value-at-Risk
• scientific article; zbMATH DE number 1941513
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Cited in

(6)

• A firm's optimizing behaviour under a value-at-risk constraint
• Measures of risk
• Equilibrium impact of value-at-risk regulation
• Regulation risk
• The VaR at risk
• Value-at-risk in a market subject to regime switching

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