Jaschke, Stefan; Klüppelberg, Claudia; Lindner, Alexander - In: Journal of Multivariate Analysis 88 (2004) 2, pp. 252-273
We derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which...