CVaR sensitivty with respect to tail thickness
Stoyan V. Stoyanov; Svetlozar T. Rachev; Frank J. Fabozzi
| Year of publication: |
2013
|
|---|---|
| Authors: | Stoyanov, Stoyan V. ; Račev, Svetlozar T. ; Fabozzi, Frank J. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 3, p. 977-988
|
| Subject: | Fat-tailed distributions | Regularly varying tails | Conditional value-at-risk | Marginal rebalancing | Asymptotic variability | Statistische Verteilung | Statistical distribution | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Wahrscheinlichkeitsrechnung | Probability theory |
| 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/10009708724