Value at risk and efficiency under dependence and heavy-tailedness : models with common shocks
Rustam Ibragimov; Johan Walden
| Year of publication: |
2011
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|---|---|
| Authors: | Ibragimov, Rustam Ju. ; Walden, Johan |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 7.2011, 3, p. 285-318
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| Subject: | Risikomaß | Risk measure | Risiko | Risk | Schock | Shock | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | Theorie | Theory |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009248124