Market risk : exponential weighting in the value-at-risk calculation
Year of publication: |
August 2020
|
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Authors: | Broll, Udo ; Förster, Andreas |
Publisher: |
[Dresden] : Technische Universität Dresden, Faculty of Business and Economics |
Subject: | risk management | market risk | exponentially weighted moving average | weighting scheme | Value-at-Risk | Risikomanagement | Risk management | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risiko | Risk | Marktrisiko | Market risk | ARCH-Modell | ARCH model | CAPM |
Extent: | 1 Online-Ressource (circa 15 Seiten) |
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Series: | CEPIE working paper. - Dresden : CPIE, ISSN 2510-1196, ZDB-ID 2870036-3. - Vol. no. 20, 04 |
Type of publication: | Book / Working Paper |
Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
Language: | English |
Other identifiers: | hdl:10419/224735 [Handle] |
Classification: | C22 - Time-Series Models ; G18 - Government Policy and Regulation ; G28 - Government Policy and Regulation |
Source: | ECONIS - Online Catalogue of the ZBW |
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