Analytical method for computing stressed value-at-risk with conditional value-at-risk
Year of publication: |
February 2017
|
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Authors: | Hong, KiHoon |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 19.2016/2017, 3, p. 85-106
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Subject: | conditional risk | conditional value-at-risk (CoVaR) | delta-normal method | stressed value-at-risk (SVaR) | risk management | Risikomanagement | Risk management | Finanzdienstleistung | Financial services | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
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