Similar Search Results

Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns

Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256

Persistent link: https://www.econbiz.de/10010421851

Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns

Mbairadjim Moussa, A.; Sadefo Kamdem, J.; Terraza, M. - In: Economic Modelling 39 (2014) C, pp. 247-256

This paper is concerned with linear portfolio value-at-risk (VaR) and expected shortfall (ES) computation when the portfolio risk factors are leptokurtic, imprecise and/or vague. Following Yoshida (2009), the risk factors are modeled as fuzzy random variables in order to handle both their random...

Persistent link: https://www.econbiz.de/10010781951

Businesses risks aggregation with Copula

Kamdem, J. Sadefo - In: Journal of quantitative economics : official journal of … 9 (2011) 2, pp. 58-72

Persistent link: https://www.econbiz.de/10010337911

Comparison of some static hedging models of agricultural commodities price uncertainty

Kamdem, Jules Sadefo; Moumouni, Zoulkiflou - In: Journal of quantitative economics 18 (2020) 3, pp. 631-655

Persistent link: https://www.econbiz.de/10012418858