How valuable is your VaR? : large sample confidence intervals for normal VaR
Year of publication: |
2011
|
---|---|
Authors: | Moraux, Franck |
Published in: |
Journal of risk management in financial institutions. - London : Henry Stewart Publ., ISSN 1752-8887, ZDB-ID 2416788-5. - Vol. 4.2010/11, 2, p. 189-200
|
Subject: | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Statistischer Fehler | Statistical error |
-
Value-at-risk in US stock indices with skewed generalized error distribution
Lee, Ming-chih, (2008)
-
Spiliotis, Evangelos, (2019)
-
Making Cornish-Fisher fit for risk measurement
Lamb, John D., (2019)
- More ...
-
Valuing callable convertible bonds : a reduced approach
André-Le Pogamp, Florence, (2004)
-
A closed form solution for pricing defaultable bonds
Moraux, Franck, (2004)
-
On perpetual American strangles
Moraux, Franck, (2009)
- More ...