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Risk contributions of lambda quantiles* - MaRDI portal

Risk contributions of lambda quantiles* (Q5041667)

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scientific article; zbMATH DE number 7601794
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English
Risk contributions of lambda quantiles*
scientific article; zbMATH DE number 7601794

    Statements

    title
    Risk contributions of lambda quantiles* (English)
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    author
    A. Nejat Ince
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    Ilaria Peri
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    Silvana M. Pesenti
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    publication date
    14 October 2022
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    zbMATH Keywords
    lambda quantiles
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    capital allocation
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    risk contribution
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    lambda value-at-risk
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    Euler allocation
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    Identifiers

    zbMATH DE Number
    7601794
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    OpenAlex ID
    W3175466418
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    arXiv ID
    2106.14824
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