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Comparison Theorems for Distribution Functions of Quadratic Forms of Gaussian Vectors

✍ Scribed by Bakirov, N. K.


Book ID
118226961
Publisher
Society for Industrial and Applied Mathematics
Year
1996
Tongue
English
Weight
861 KB
Volume
40
Category
Article
ISSN
0040-585X

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We derive results on the asymptotic behavior of tails and quantiles of quadratic forms of Gaussian vectors. They appear in particular in delta-gamma models in financial risk management approximating portfolio returns. Quantile estimation corresponds to the estimation of the Value-at-Risk, which is a