Analytical method for computing stressed value-at-risk with conditional value-at-risk
KiHoon Hong
| Year of publication: |
February 2017
|
|---|---|
| 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 | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model | Bankrisiko | Bank risk |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.21314/Jor.2016.354 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011689731