Market risk of investment in us subprime crisis : comparison of a pure diffusion and a pure jump model
Sharif Mozumder and Arafatur Rahman
| Year of publication: |
September 2016
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|---|---|
| Authors: | Mozumder, Sharif ; Rahman, Arafatur |
| Published in: |
Annals of financial economics. - Hackensack, NJ [u.a.] : World Scientific, ISSN 2010-4952, ZDB-ID 2732467-9. - Vol. 11.2016, 3, p. 1-17
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| Subject: | Risk measure | value at risk | expected shortfall | pure diffusion Bachelier model | pure jump variance gamma model | Risikomaß | Portfolio-Management | Portfolio selection | Volatilität | Volatility | Risikomanagement | Risk management | Stochastischer Prozess | Stochastic process | Optionspreistheorie | Option pricing theory | Marktrisiko | Market risk | Risiko | Risk |