Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model (Q2666309)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model |
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Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model (English)
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22 November 2021
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Gaussian mixture model
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value-at-risk
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expected shortfall
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risk management
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Monte Carlo simulation
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