Option-implied intrahorizon value at risk
Year of publication: |
2020
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Authors: | Leippold, Markus ; Vasiljević, Nikola |
Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Catonsville, MD : INFORMS, ISSN 0025-1909, ZDB-ID 206345-1. - Vol. 66.2020, 1, p. 397-414
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Subject: | value at risk | intrahorizon risk | displaced mixed-exponential model | first-passage disentanglement | option-implied estimates | Risikomaß | Risk measure | Schätzung | Estimation | Risiko | Risk | Risikomanagement | Risk management |
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