THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS
From MaRDI portal
Publication:4919617
DOI10.1111/j.1467-9965.2011.00482.xzbMath1272.91115OpenAlexW2109266498MaRDI QIDQ4919617
Publication date: 14 May 2013
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2011.00482.x
saddlepoint approximationexpected shortfallvalue at riskmultivariate \(t\) distributiontransform inversiondelta-gamma-theta approximation
Related Items (3)
Multivariate elliptical truncated moments ⋮ Tail variance of portfolio under generalized Laplace distribution ⋮ Efficient option risk measurement with reduced model risk
Cites Work
- Asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors.
- Coherent Measures of Risk
- Saddle point approximation for the distribution of the sum of independent random variables
- Non-Linear Value-at-Risk *
- Tail Probability Approximations
- Portfolio Value-at-Risk with Heavy-Tailed Risk Factors
- Multivariate T-Distributions and Their Applications
- Uniform asymptotic expansions of integrals with stationary point near algebraic singularity
- VALUE-AT-RISK AND EXPECTED SHORTFALL FOR LINEAR PORTFOLIOS WITH ELLIPTICALLY DISTRIBUTED RISK FACTORS
- Saddlepoint Approximations in Statistics
- Extension of a Theorem by Harald Cramer on the Frequency Distribution of the Quotient of Two Variables
- Analytical value-at-risk with jumps and credit risk
- Unnamed Item
- Unnamed Item
- Unnamed Item
This page was built for publication: THE EXPECTED SHORTFALL OF QUADRATIC PORTFOLIOS WITH HEAVY‐TAILED RISK FACTORS
