How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used (Q2879030)
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scientific article; zbMATH DE number 6340769
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used |
scientific article; zbMATH DE number 6340769 |
Statements
How to mitigate the impact of inappropriate distributional settings when the parametric value-at-risk approach is used (English)
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5 September 2014
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value at risk (VaR)
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autoregressive jump intensity (ARJI)
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skewed generalized error distribution
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filter historical simulation
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parametric approach
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