On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions (Q2926058)
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scientific article; zbMATH DE number 6362441
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions |
scientific article; zbMATH DE number 6362441 |
Statements
On the inadequacy of VaR-based risk management: VaR, CVaR, and nonlinear interactions (English)
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29 October 2014
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stochastic optimization
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risk management
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CVaR
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