Analytical Value-at-Risk and Expected Shortfall under regime-switching
Abderrahim Taamouti
| Year of publication: |
2009
|
|---|---|
| Authors: | Taamouti, Abderrahim |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 6.2009, 3, p. 138-151
|
| Subject: | Risikomaß | Risk measure | Risikomanagement | Risk management | Kapitaleinkommen | Capital income | Volatilität | Volatility |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10003888009