Stochastic models for risk estimation in volatile markets: a survey

DOI10.1007/s10479-008-0468-1zbMath1233.91332OpenAlexW2049978423MaRDI QIDQ993727

Frank J. Fabozzi, Borjana Racheva-Iotova, Svetlozar T. Rachev, Stoyan V. Stoyanov

Publication date: 20 September 2010

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-008-0468-1

zbMATH Keywords

stable distributionsdownside riskaverage value-at-riskconditional value-at-riskfat-tailed distributionsrisk budgeting

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)

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Cites Work

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