Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (Q5001182)
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scientific article; zbMATH DE number 7372442
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Approximation methods for multiple period Value at Risk and Expected Shortfall prediction |
scientific article; zbMATH DE number 7372442 |
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Approximation methods for multiple period Value at Risk and Expected Shortfall prediction (English)
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16 July 2021
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capital adequacy
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delta method
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GJR-GARCH
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kurtosis
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risk management
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skewness
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