Analytical value-at-risk with jumps and credit risk
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Publication:5936313
DOI10.1007/PL00013531zbMath0993.91016OpenAlexW1966210751MaRDI QIDQ5936313
Publication date: 11 July 2001
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/pl00013531
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)
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