Value-at-risk time scaling : a Monte Carlo approach
Year of publication: |
March 2016
|
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Authors: | Malataliana, Moepa ; Rigotard, Michael |
Published in: |
The journal of risk model validation. - London : Infopro Digital, ISSN 1753-9579, ZDB-ID 2316764-6. - Vol. 10.2016, 1, p. 47-57
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Subject: | value-at-risk | Pareto | kernel | Monte Carlo | square-root-of-time scaling | fat tails | Monte-Carlo-Simulation | Monte Carlo simulation | Theorie | Theory | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution |
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