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

DOI10.1080/09720510.2007.10701259zbMATH Open1144.91020OpenAlexW2043496703MaRDI QIDQ5454986FDOQ5454986

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

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zbMATH Keywords

VaRbasic convergence effectdelta valuation

Mathematics Subject Classification ID

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

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