The following pages link to Fat tails, VaR and subadditivity (Q528149):
Displaying 20 items.
- A representation of risk measures (Q272219) (← links)
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
- A directional multivariate value at risk (Q896753) (← links)
- Solvency II solvency capital requirement for life insurance companies based on expected shortfall (Q1689024) (← links)
- Sensitivity analysis of mixed tempered stable parameters with implications in portfolio optimization (Q1722750) (← links)
- Price equations with symmetric supply/demand; implications for fat tails (Q1730168) (← links)
- A parsimonious parametric model for generating margin requirements for futures (Q1991253) (← links)
- Fat tails arise endogenously from supply/demand, with or without jump processes (Q2133227) (← links)
- Minimum Rényi entropy portfolios (Q2241052) (← links)
- On multivariate extensions of the conditional value-at-risk measure (Q2347091) (← links)
- Sensitivity of portfolio VaR and CVaR to portfolio return characteristics (Q2393347) (← links)
- Eventual convexity of probability constraints with elliptical distributions (Q2414898) (← links)
- On the Measurement of Economic Tail Risk (Q3178757) (← links)
- Risk Measures and Stochastic Orders Using Integrals of Distorted Quantile Functions (Q4644990) (← links)
- (Q5011444) (← links)
- Multi-modal tempered stable distributions and prosses with applications to finance (Q5077485) (← links)
- Backtesting extreme value theory models of expected shortfall (Q5234339) (← links)
- Asymptotic subadditivity/superadditivity of Value‐at‐Risk under tail dependence (Q6146694) (← links)
- Minimizing oracle-structured composite functions (Q6173766) (← links)
- A new risk measure MMVaR: properties and empirical research (Q6594963) (← links)
