Analytical VaR and expected shortfall for quadratic portfolios
Year of publication: |
2010
|
---|---|
Authors: | Yueh, Meng-lan ; Wong, Mark C. W. |
Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 17.2009/10, 3, p. 33-44
|
Subject: | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Maßzahl | Statistical measures |
-
The Cornish-Fisher expansion in the context of delta-gamma-normal approximations
Jaschke, Stefan R., (2001)
-
Wang, Man, (2022)
-
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob, (2016)
- More ...
-
Pricing defaultable coupon bonds under a jump-diffuson process
Wong, Mark C. W., (2002)
-
Valuation of the interest rate guarantee embedded in defined contribution pension plans
Yang, Sharon S., (2008)
-
Valuations of mortality-linked structured products
Yueh, Meng-Lan, (2016)
- More ...