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Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns

✍ Scribed by Mbairadjim Moussa, A.; Sadefo Kamdem, J.; Terraza, M.

No coin nor oath required. For personal study only.

📜 SIMILAR VOLUMES

THE EXPECTED SHORTFALL OF QUADRATIC PORT

✍ Simon A. Broda 📂 Article 📅 2011 🏛 John Wiley and Sons 🌐 English ⚖ 200 KB

Value at Risk and Expected Shortfall for

✍ Carl Lönnbark; Ulf Holmberg; Kurt Brännäs 📂 Article 📅 2011 🏛 Elsevier Science 🌐 English ⚖ 314 KB

Empirical study of value‐at‐risk and exp

✍ Harmantzis, Fotios C.; Miao, Linyan; Chien, Yifan 📂 Article 📅 2006 🏛 Emerald Group Publishing Limited 🌐 English ⚖ 226 KB

Portfolio Value-at-Risk with Heavy-Taile

✍ Paul Glasserman; Philip Heidelberger; Perwez Shahabuddin 📂 Article 📅 2002 🏛 John Wiley and Sons 🌐 English ⚖ 285 KB

GARCH models for daily stock returns: Im

✍ Ardia, David; Hoogerheide, Lennart F. 📂 Article 📅 2014 🏛 Elsevier Science 🌐 English ⚖ 331 KB

Forecasting value at risk allowing for t

✍ Cherif Guermat; Richard D.F. Harris 📂 Article 📅 2002 🏛 Elsevier Science 🌐 English ⚖ 81 KB