Pages that link to "Item:Q470430"
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The following pages link to VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors (Q470430):
Displaying 5 items.
- \(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC (Q1023092) (← links)
- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options (Q1023678) (← links)
- Estimation risk for the VaR of portfolios driven by semi-parametric multivariate models (Q1644252) (← links)
- Tail variance of portfolio under generalized Laplace distribution (Q1731080) (← links)
- Complete mixability and asymptotic equivalence of worst-possible VaR and ES estimates (Q2015653) (← links)
