Statistical Issues in Coherent Risk Management
Year of publication: |
2004-11-22
|
---|---|
Authors: | Lu, Na |
Other Persons: | Albert S. "Pete" Kyle (contributor) ; Sastry Pantula (contributor) ; Peter Bloomfield (contributor) ; John Seater (contributor) ; Marc Genton (contributor) |
Subject: | sensitivity of ES | capital allocation | Value-at-Risk | partial moment | elliptical family | back-testing | risk management | expected shortfall | exponential family | optimal weighting |
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