Measuring the risk of a non-linear portfolio with fat-tailed risk factors through a probability conserving transformation

DOI10.1093/IMAMAN/DPU015zbMath1433.91153OpenAlexW2012421215MaRDI QIDQ5382685

Roberto Bustreo, Paresh Date

Publication date: 18 June 2019

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: http://bura.brunel.ac.uk/handle/2438/10989

zbMATH Keywords

value-at-riskconditional value-at-riskfat-tailed distributions

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model

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