A simple normal inverse Gaussian-type approach to calculate value-at-risk based on realized moments
Year of publication: |
2015
|
---|---|
Authors: | Lau, Christian |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 4, p. 1-18
|
Subject: | Data | Value-at-risk (VAR) | Risk management | Original research | Theorie | Theory | Risikomanagement | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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