A semi-parametric approach to risk management
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Publication:4647288
DOI10.1088/1469-7688/3/6/302zbMath1405.91537OpenAlexW2073273904MaRDI QIDQ4647288
Rüdiger Kiesel, Rafael Schmidt, Nicholas H. Bingham
Publication date: 14 January 2019
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1088/1469-7688/3/6/302
Related Items (11)
Systematic scenario selection: stress testing and the nature of uncertainty ⋮ Regular variation and probability: The early years ⋮ Semiparametric estimation in the normal variance-mean mixture model ⋮ Extremes of asymptotically spherical and elliptical random vectors ⋮ Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions ⋮ Two nonparametric approaches to mean absolute deviation portfolio selection model ⋮ Inference for vast dimensional elliptical distributions ⋮ Stochastic ordering of Gini indexes for multivariate elliptical risks ⋮ Estimation of α-Stable Sub-Gaussian Distributions for Asset Returns ⋮ Modelling dynamic portfolio risk using risk drivers of elliptical processes ⋮ Estimating the tail-dependence coefficient: properties and pitfalls
Uses Software
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