Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Yukio Muromachi
| 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
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| Subject: | value-at-risk | expected shortfall | (marginal) risk contribution | additivity of the risk | conditional independence | saddlepoint approximation | Risikomaß | Risk measure | Risikomanagement | Risk management | Risiko | Risk | ARCH-Modell | ARCH model | Schätztheorie | Estimation theory | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Schätzung | Estimation |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011438902