Value at risk and expected shortfall based on Gram-Charlier-like expansions
Year of publication: |
August 2018
|
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Authors: | Zoia, Maria Grazia ; Biffi, Paola ; Nicolussi, Federica |
Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 93.2018, p. 92-104
|
Subject: | Gram-Charlier expansions | Value at risk | Expected shortfall | Heavy tailed distributions | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection |
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