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Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
2016/1/25
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
Bounds for the Sum of Dependent Risks and Worst Value-at-Risk with Monotone Marginal Densities
Complete mixability Monotone density Sum of dependent risks Value-at- Risk
2016/1/20
In quantitative risk management, it is important and challenging to find sharp bounds for the distribution of the sum of dependent risks with given marginal distributions, but an unspecified dependenc...
COMPUTING THE PORTFOLLO CONDITIONAL VALUE-AT-RISK IN THE a-STABLE CASE
Stable distributions heavy tails coherent risk measures conditional value-at-risk
2009/9/18
The class of a-stable distributions is an attractive
probabilistic model of asset returns distribution in the field of finance.
When dealing with real issues, such ar optimal portfolio selection, it...