Option-implied objective measures of market risk
Matthias Leiss, Heinrich H. Nax
| Year of publication: |
March 2018
|
|---|---|
| Authors: | Leiss, Matthias ; Nax, Heinrich H. |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 88.2018, p. 225-240
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| Subject: | Risk measure | Risk dynamics | Risk-neutral densities | Value at risk | Expected shortfall | Risikomaß | Risiko | Risk | Risikomanagement | Risk management | Messung | Measurement | Optionspreistheorie | Option pricing theory | Bankrisiko | Bank risk | Portfolio-Management | Portfolio selection | Marktrisiko | Market risk | Volatilität | Volatility | Statistische Verteilung | Statistical distribution |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2017.11.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011962908