Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation (Q5382685)
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scientific article; zbMATH DE number 7067512
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation |
scientific article; zbMATH DE number 7067512 |
Statements
Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation (English)
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18 June 2019
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value-at-risk
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conditional value-at-risk
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fat-tailed distributions
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