Computational dynamic market risk measures in discrete time setting
Babacar Seck; Robert J. Elliott; Jean-Pierre Gueyie
| Year of publication: |
2014
|
|---|---|
| Authors: | Seck, Babacar ; Elliott, Robert J. ; Gueyie, Jean-Pierre |
| Published in: |
International journal of financial engineering and risk management. - Olney : Inderscience, ISSN 2049-0909, ZDB-ID 2735250-X. - Vol. 1.2014, 4, p. 334-354
|
| Subject: | dynamic risk measures | Markov chain | market risk | value-at-risk | conditional value-at-risk | discrete time | Risikomaß | Risk measure | Theorie | Theory | Portfolio-Management | Portfolio selection | Markov-Kette | Marktrisiko | Market risk | Risiko | Risk | Messung | Measurement | Risikomanagement | Risk management |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010476909