Intra-horizon expected shortfall and risk structure in models with jumps
Year of publication: |
2019
|
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Authors: | Farkas, Walter ; Mathys, Ludovic ; Vasiljević, Nikola |
Publisher: |
Geneva : Swiss Finance Institute |
Subject: | Intra-Horizon Risk | Value at Risk | Expected Shortfall | Lévy Processes | Hyper-Exponential Distribution | Risk Decomposition | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Risiko | Risk | Messung | Measurement | Stochastischer Prozess | Stochastic process | Portfolio-Management | Portfolio selection | Statistische Verteilung | Statistical distribution | Volatilität | Volatility |
Extent: | 1 Online-Ressource (circa 46 Seiten) Illustrationen |
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Series: | Research paper series / Swiss Finance Institute. - Geneva, ZDB-ID 2392286-2. - Vol. no 19, 76 Swiss Finance Institute Research Paper ; No. 19-76 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | 10.2139/ssrn.3510202 [DOI] |
Classification: | C32 - Time-Series Models ; C63 - Computational Techniques ; G01 - Financial Crises ; g51 |
Source: | ECONIS - Online Catalogue of the ZBW |
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