Stable modeling of value at risk (Q1600544)
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scientific article; zbMATH DE number 1755440
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Stable modeling of value at risk |
scientific article; zbMATH DE number 1755440 |
Statements
Stable modeling of value at risk (English)
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13 June 2002
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market risks
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value-at-risk
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VAR computations
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stable Paretian distributions
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0.88167435
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0.8782973
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0.8775867
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