Reduction of Value-at-Risk bounds via independence and variance information
Giovanni Puccetti, Ludger Rüschendorf, Daniel Small and Steven Vanduffel
| Year of publication: |
February-June 2017
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|---|---|
| Authors: | Puccetti, Giovanni ; Rüschendorf, Ludger ; Small, Daniel ; Vanduffel, Steven |
| Published in: |
Scandinavian actuarial journal. - Basingstoke : Taylor & Francis, ISSN 0346-1238, ZDB-ID 186753-2. - 2017, 3, p. 245-266
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| Subject: | Value-at-Risk | dependence uncertainty | model risk | expected shortfall | Risikomaß | Risk measure | Risiko | Risk | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/03461238.2015.1119717 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011772119