RISK HORIZON AND REBALANCING HORIZON IN PORTFOLIO RISK MEASUREMENT
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Publication:4906529
DOI10.1111/j.1467-9965.2010.00465.xzbMath1278.91138OpenAlexW2329864120MaRDI QIDQ4906529
Publication date: 28 February 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00465.x
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Related Items (4)
Estimating the counterparty risk exposure by using the Brownian motion local time ⋮ The default risk charge approach to regulatory risk measurement processes ⋮ Unnamed Item ⋮ RESEARCH ON RISK MEASUREMENT OF SUPPLY CHAIN FINANCE BASED ON FRACTAL THEORY
Uses Software
Cites Work
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- A Matched Asymptotic Expansions Approach to Continuity Corrections for Discretely Sampled Options. Part 1: Barrier Options
- The log-normal approximation in financial and other computations
- Corrected random walk approximations to free boundary problems in optimal stopping
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