Stable modeling of value at risk
type: Item
instance of: scholarly article
title: Stable modeling of value at risk
zbMATH Open document ID: 1008.91063
DOI: 10.1016/S0895-7177(01)00129-7
published in: Mathematical and Computer Modelling
publication date: 2002-06-13T00:00:00Z
Mathematics Subject Classification ID: 91B30
Mathematics Subject Classification ID: 91B28
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 91B24
zbMATH DE Number: 1755440
zbMATH Keywords: market risks
zbMATH Keywords: value-at-risk
zbMATH Keywords: VAR computations
zbMATH Keywords: stable Paretian distributions
author: Irina N. Khindanova
author: Svetlozar T. Rachev
author: Eduardo S. Schwartz
describes a project that uses: RiskMetrics
MaRDI profile type: Publication
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full work available at URL: s0895-7177(01)00129-7
OpenAlex ID: W2033174532
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description: scientific article; zbMATH DE number 1755440