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PELVE: probability equivalent level of VaR and ES - MaRDI portal

PELVE: probability equivalent level of VaR and ES (Q2697992)

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PELVE: probability equivalent level of VaR and ES
scientific article

    Statements

    title
    PELVE: probability equivalent level of VaR and ES (English)
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    author
    Hengxin Li
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    Ruodu Wang
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    publication date
    14 April 2023
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    zbMATH Keywords
    value-at-risk
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    expected shortfall
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    regulatory capital
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    heavy tails
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    portfolio diversification
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    cites work
    Q5560061
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    Q4343010
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    Q5485944
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    Q5253267
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    Q3038384
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    Identifiers

    zbMATH DE Number
    7674661
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    OpenAlex ID
    W4220720576
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