VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors
| Year of publication: |
2012
|
|---|---|
| Authors: | Kamdem, Jules Sadefo |
| Published in: |
Annals of Finance. - Springer. - Vol. 8.2012, 1, p. 123-150
|
| Publisher: |
Springer |
| Subject: | Capital allocation | Dynamic volatility | Risk management | Price risk in agriculture | Expected Shortfall |
| Extent: | text/html |
|---|---|
| Type of publication: | Article |
| Source: |
Persistent link: https://www.econbiz.de/10010866551