Computational aspects of portfolio risk estimation in volatile markets: a survey

DOI10.1515/snde-2012-0004zbMath1506.91182OpenAlexW1996336125MaRDI QIDQ5881677

Stoyan V. Stoyanov, Frank J. Fabozzi, Svetlozar T. Rachev

Publication date: 13 March 2023

Published in: Studies in Nonlinear Dynamics and Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1515/snde-2012-0004

zbMATH Keywords

copulaMonte Carlovalue at riskconditional value at riskfat-tailed models

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Statistical methods; risk measures (91G70)