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  • Search: subject:"Binomial Tree Extremes"
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Binomial Tree 1 Binomial Tree Extremes 1 Brownian Motion 1 Capital Charge 1 Risk Management 1 Risk measures 1 Stock Returns 1 Value at Risk 1 Worst Case Analysis 1
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Mihai, Mihnea-Stefan 1
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EconWPA 1
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Stochastics for the worst case: distributions and risk measures for minimal returns
Mihai, Mihnea-Stefan - EconWPA - 2003
Distributions for returns are used to compute the capital charge for portfolios in investment banks. The mainstream definition of returns is based on closing prices and neglects the important effects of intraday trading activity on the losses . In this paper we introduce ''minimal returns'', a...
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