The recovery theorem with application to risk management

DOI10.37920/SASJ.2020.54.1.5zbMath1474.62374OpenAlexW3014342642MaRDI QIDQ5151102

Eben Maré, Vaughan van Appel

Publication date: 16 February 2021

Published in: South African Statistical Journal (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.37920/sasj.2020.54.1.5

zbMATH Keywords

value-at-riskrisk managementdensity forecastingrecovery theorem

Mathematics Subject Classification ID

Density estimation (62G07) Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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