An efficient Fourier expansion method for the calculation of value-at-risk : contributions of extra-ordinary risks
Sio Chong U (Department of Finance and Business Economics University of Macau, Macao, P. R. China), Jacky So (Department of Finance and Business Economics University of Macau, Macao, P. R. China), Deng Ding and Lihong Liu (Department of Mathematics University of Macau, Macao, P. R. China)
| Year of publication: |
March 2016
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|---|---|
| Authors: | Sio Chong U ; So, Jacky C. ; Ding, Deng ; Liu, Lihong |
| Published in: |
International journal of financial engineering. - New Jersey : World Scientific, ISSN 2424-7863, ZDB-ID 2832504-7. - Vol. 3.2016, 1, p. 1-27
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| Subject: | Value-at-Risk | log-stable paretain distribution | fourier expansion | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Theorie | Theory | Risikomanagement | Risk management | Risiko | Risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S2424786316500067 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011532757