Value-at-risk time scaling : a Monte Carlo approach
Moepa Malataliana and Michael Rigotard
| Year of publication: |
March 2016
|
|---|---|
| Authors: | Malataliana, Moepa ; Rigotard, Michael |
| Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 1, p. 47-57
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| Subject: | value-at-risk | Pareto | kernel | Monte Carlo | square-root-of-time scaling | fat tails | Monte-Carlo-Simulation | Monte Carlo simulation | Risikomaß | Risk measure | Theorie | Theory | Statistische Verteilung | Statistical distribution |
| 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/10011485151