Efficient estimation of distributional tail shape and the extremal index with applications to risk management
Year of publication: |
November 2016
|
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Authors: | Sapp, Travis R. A. |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 6.2016, 4, p. 626-659
|
Subject: | Tail Risk | Extreme Value Theory | Clusters | Value at Risk | Expected Shortfall | Risikomanagement | Risk management | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Ausreißer | Outliers | Theorie | Theory | Portfolio-Management | Portfolio selection | Aktienindex | Stock index |
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