Tabulations for value at risk and expected shortfall
DOI10.1080/03610926.2015.1116572zbMATH Open1462.62759OpenAlexW2424958597MaRDI QIDQ5349132FDOQ5349132
Stephen Chan, Saralees Nadarajah, Emmanuel Afuecheta
Publication date: 23 August 2017
Published in: Communications in Statistics: Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610926.2015.1116572
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- On approximations of value at risk and expected shortfall involving kurtosis
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
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- VaR and expected shortfall: a non-normal regime switching framework
- Introduction to the theory of probabilistic functions and percentiles (value-at-risk)
- The exponentiated Fréchet regression: an alternative model for actuarial modelling purposes
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