The recovery theorem with application to risk management

DOI10.37920/SASJ.2020.54.1.5zbMATH Open1474.62374OpenAlexW3014342642MaRDI QIDQ5151102FDOQ5151102

Authors: Vaughan van Appel, Eben Maré 

Publication date: 16 February 2021

Published in: South African Statistical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.37920/sasj.2020.54.1.5

Recommendations

• Functional Ross recovery: theoretical results and empirical tests
• Forecasting market index volatility using ross-recovered distributions
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zbMATH Keywords

risk managementvalue-at-riskdensity forecastingrecovery theorem

Mathematics Subject Classification ID

Density estimation (62G07) Derivative securities (option pricing, hedging, etc.) (91G20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cited In (3)

• Recovering the real-world density and liquidity premia from option data
• Forecasting market index volatility using ross-recovered distributions
• Ross recovery and the term structure of interest rates

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