Enhancing tail risk measurement: a practical approach to managing model risk of tail risk

MaRDI QIDQ6658698

Valeriane Jokhadze, O. Purtukhia

Publication date: 8 January 2025

Published in: Bulletin of TICMI (Search for Journal in Brave)

zbMATH Keywords

market risksuperposed risk measure

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic calculus of variations and the Malliavin calculus (60H07) Financial markets (91G15)

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