Asymptotic analysis for spectral risk measures parameterized by confidence level
Year of publication: |
February 2018
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Authors: | Kato, Takashi |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 1, p. 197-226
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Subject: | Spectral Risk Measures | Quantitative Risk Management | Asymptotic Analysis | Extreme Value Theory | Euler Contribution | Theorie | Theory | Risikomaß | Risk measure | Risikomanagement | Risk management | Ausreißer | Outliers | Risiko | Risk | Messung | Measurement |
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