A theoretical framework incorporating the basic convergence effect in the value-at-risk model

DOI10.1080/09720510.2007.10701259MaRDI QIDQ5454986zbMATH OpenOpenAlexFDO

Authors Chin-Shen Lee, Shu-Fang Yuan

Publication date 3 April 2008

Published in Journal of Statistics and Management Systems (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/09720510.2007.10701259

zbMATH Keywords

VaRbasic convergence effectdelta valuation

Mathematics Subject Classification ID

Microeconomic theory (price theory and economic markets) (91B24)

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