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VaR and expected shortfall: a non-normal regime switching framework - MaRDI portal

VaR and expected shortfall: a non-normal regime switching framework (Q3182749)

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VaR and expected shortfall: a non-normal regime switching framework
scientific article

    Statements

    title
    VaR and expected shortfall: a non-normal regime switching framework (English)
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    author
    Robert J. Elliott
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    Hong Miao
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    publication date
    16 October 2009
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    zbMATH Keywords
    asset pricing
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    capital structure
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    corporate finance
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    copulas
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91B25
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    91G50
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    zbMATH DE Number
    5616508
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    OpenAlex ID
    W2078882860
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