Asymptotics for value at risk and conditional tail expectation of a portfolio loss (Q6579530)
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scientific article; zbMATH DE number 7887595
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics for value at risk and conditional tail expectation of a portfolio loss |
scientific article; zbMATH DE number 7887595 |
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Asymptotics for value at risk and conditional tail expectation of a portfolio loss (English)
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25 July 2024
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asymptotics
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conditional tail expectation
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heavy tailed distribution
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quasi-asymptotic independence
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value at risk
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