The Use of Ratios to Compare Volatilities and VaRs

DOI10.1080/03610910802361341zbMath1153.62368OpenAlexW2044591593MaRDI QIDQ3543748

J. Martin van Zyl

Publication date: 4 December 2008

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910802361341

zbMATH Keywords

riskvalue-at-riskratiostandard deviation risk

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Exact distribution theory in statistics (62E15)

Cites Work

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• Confidence regions for the ratio of percentiles
• Density of the Ratio of Two Normal Random Variables and Applications

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