Value-at-risk bounds with variance constraints
Year of publication: |
September 2017
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Authors: | Bernard, Carole ; Rüschendorf, Ludger ; Vanduffel, Steven |
Published in: |
The journal of risk and insurance : the journal of the American Risk and Insurance Association. - Malden, Mass. [u.a] : Blackwell, ISSN 0022-4367, ZDB-ID 410673-8. - Vol. 84.2017, 3, p. 923-959
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Subject: | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Theorie | Theory |
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