Destabilizing properties of a VaR or probability-of-ruin constraint when variances may be infinite
Larry Eisenberg
| Year of publication: |
2011
|
|---|---|
| Authors: | Eisenberg, Laurence K. |
| Published in: |
Journal of financial stability. - Amsterdam [u.a.] : Elsevier, ISSN 1572-3089, ZDB-ID 2222049-5. - Vol. 7.2011, 1, p. 10-18
|
| Subject: | Cotendency | Premium switching | Power law | Probability-of-ruin | Risk management | VaR | Risikomanagement | Theorie | Theory | VAR-Modell | VAR model | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Markov-Kette | Markov chain |
| 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/10009272316