Financial risk measures for a network of individual agents holding portfolios of light-tailed objects
Claudia Klüppelberg, Miriam Isabel Seifert
| Year of publication: |
2019
|
|---|---|
| Authors: | Klüppelberg, Claudia ; Seifert, Miriam |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 23.2019, 4, p. 795-826
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| Subject: | Asymptotic exponential distribution | Expected shortfall | Financial network | Risk management | Value-at-risk | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Risikomanagement | Theorie | Theory | Risiko | Risk | Messung | Measurement | Finanzmarkt | Financial market |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-019-00401-7 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012114659