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A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL - MaRDI portal

A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL (Q3503127)

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A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL
scientific article

    Statements

    title
    A COMPARISON OF SOME UNIVARIATE MODELS FOR VALUE-AT-RISK AND EXPECTED SHORTFALL (English)
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    author
    Carlo Marinelli
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    Stefano d'Addona
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    Svetlozar T. Rachev
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    publication date
    20 May 2008
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    zbMATH Keywords
    value-at-risk
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    expected shortfall
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    Paretian stable laws
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    extreme value theory
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    Identifiers

    zbMATH DE Number
    5277236
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