The Skew Normal multivariate risk measurement framework
Mauro Bernardi, Roy Cerqueti, Arsen Palestini
| Year of publication: |
2020
|
|---|---|
| Authors: | Bernardi, Mauro ; Cerqueti, Roy ; Palestini, Arsen |
| Published in: |
Computational management science. - Heidelberg : Springer, ISSN 1619-6988, ZDB-ID 2107564-5. - Vol. 17.2020, 1, p. 105-119
|
| Subject: | Conditional risk measures | Skew Normal distribution | Value-at-risk | Expected shortfall | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Risiko | Risk | Messung | Measurement | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s10287-019-00350-8 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012206033