Intra‐Horizon expected shortfall and risk structure in models with jumps (Q6054364)
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scientific article; zbMATH DE number 7743019
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Intra‐Horizon expected shortfall and risk structure in models with jumps |
scientific article; zbMATH DE number 7743019 |
Statements
Intra‐Horizon expected shortfall and risk structure in models with jumps (English)
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28 September 2023
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expected shortfall
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hyper-exponential distribution
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intra-horizon risk
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Lévy processes
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risk decomposition
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value at risk
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