\(\varDelta \)-VaR and\(\varDelta \)-TVaR for portfolios with mixture of elliptic distributions risk factors and DCC
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Publication:1023092
DOI10.1016/j.insmatheco.2008.11.013zbMath1162.91379OpenAlexW2110444856MaRDI QIDQ1023092
Publication date: 10 June 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.11.013
risk managementcapital allocationSolvency IIMGARCHTVaRVaRdynamic volatilitymixture of elliptic distributions
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Related Items (4)
Dynamic portfolio optimization under multi-factor model in stochastic markets ⋮ VaR and ES for linear portfolios with mixture of generalized Laplace distributions risk factors ⋮ Chance-constrained games with mixture distributions ⋮ Sharp estimates for the CDF of quadratic forms of MPE random vectors
Cites Work
- Approximation of multiple integrals over hyperboloids with application to a quadratic portfolio with options
- Quantile hedging
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
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