Moment based approaches to Value the Risk of contingent claim portfolios
type: Item
instance of: scholarly article
title: Moment based approaches to Value the Risk of contingent claim portfolios
zbMATH Open document ID: 1163.91404
author: Gaetano Iaquinta
author: Fabio Lamantia
author: Ivar Massabò
author: Sergio Ortobelli
published in: Annals of Operations Research
publication date: 2009-06-25T00:00:00Z
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5570689
zbMATH Keywords: Value at Risk
zbMATH Keywords: contingent claims
zbMATH Keywords: delta-gamma approximation
zbMATH Keywords: distributional moments
zbMATH Keywords: heavy tails
zbMATH Keywords: asymmetry
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
full work available at URL: s10479-007-0306-x
OpenAlex ID: W2049055388
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DOI: 10.1007/S10479-007-0306-X
description: scientific article; zbMATH DE number 5570689