Risk measures computation by Fourier inversion
Ngoc Quynh Anh Nguyen and Thi Ngoc Trang Nguyen
| Year of publication: |
2017
|
|---|---|
| Authors: | Ngoc Quynh Anh Nguyen ; Thi Ngoc Trang Nguyen |
| Published in: |
Journal of risk finance : the convergence of financial products and insurance. - Bingley : Emerald Group Publishing Limited, ISSN 1526-5943, ZDB-ID 2088897-1. - Vol. 18.2017, 1, p. 76-87
|
| Subject: | Risk management | Value-at-risk | Expected shortfall | Entropic value-at-risk | Expectile risk measure | Fourier transform | Risikomaß | Risk measure | Risikomanagement | Risiko | Risk | Messung | Measurement | Theorie | Theory | Portfolio-Management | Portfolio selection |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1108/JRF-03-2016-0034 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011653718