Computational challenges for value-at-risk and expected shortfall : Chebyshev interpolation to the rescue?
Year of publication: |
2021
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Authors: | Wilkens, Sascha |
Published in: |
International Journal of Financial Markets and Derivatives : IJFMD. - Genève [u.a.] : Inderscience Enterprises, ISSN 1756-7149, ZDB-ID 2545128-5. - Vol. 8.2021, 2, p. 101-115
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Subject: | risk measurement | market risk | value-at-risk | VaR | expected shortfall | interpolation | Chebyshev | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Messung | Measurement | Risikomanagement | Risk management | ARCH-Modell | ARCH model |
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