Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Year of publication: |
June 2015
|
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Authors: | Muromachi, Yukio |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 17.2014/2015, 5, p. 1-27
|
Subject: | value-at-risk | expected shortfall | (marginal) risk contribution | additivity of the risk | conditional independence | saddlepoint approximation | Risikomaß | Risk measure | Schätztheorie | Estimation theory | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
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