Value at risk and expected shortfall improved calculation based on the power transformation method
Arturo Leccadito, Pietro Toscano, and Radu S. Tunaru
| Year of publication: |
2014
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|---|---|
| Authors: | Leccadito, Arturo ; Toscano, Pietro ; Tunaru, Radu S. |
| Published in: |
The journal of derivatives : the official publication of the International Association of Financial Engineers. - New York, NY : Pageant Media Ltd., ISSN 1074-1240, ZDB-ID 1169004-5. - Vol. 22.2014, 2, p. 67-81
|
| Subject: | Risikomaß | Risk measure | Berechnung | Calculation |
| Extent: | graph. Darst. |
|---|---|
| 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/10011311416