PELVE : Probability Equivalent Level of VaR and ES
Year of publication: |
2020
|
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Authors: | Li, Hanson |
Other Persons: | Wang, Ruodu (contributor) |
Publisher: |
[2020]: [S.l.] : SSRN |
Subject: | Theorie | Theory | Wahrscheinlichkeitsrechnung | Probability theory | Risikomaß | Risk measure | VAR-Modell | VAR model |
Extent: | 1 Online-Ressource (43 p) |
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Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments November 25, 2019 erstellt |
Other identifiers: | 10.2139/ssrn.3489566 [DOI] |
Classification: | C14 - Semiparametric and Nonparametric Methods ; G21 - Banks; Other Depository Institutions; Mortgages ; C63 - Computational Techniques |
Source: | ECONIS - Online Catalogue of the ZBW |
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