Computation of the corrected Cornish-Fisher expansion using the response surface methodology : application to VaR and CVaR
Year of publication: |
2019
|
---|---|
Authors: | Amédée-Manesme, Charles-Olivier ; Barthélémy, Fabrice ; Maillard, Didier |
Published in: |
Decision making and risk/return optimization in financial economics. - New York, NY, USA : Springer. - 2019, p. 423-453
|
Subject: | Cornish-Fisher expansion | Response surface methodology | Quantiles | Value at Risk | Expected shortfall |
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