Stable modeling of value at risk

Mathematical and Computer Modelling

Volumn 34, Issue 9-11, 2001, Pages 1223-1259

  Khindanova, I ^a   Rachev, S ^a,b   Schwartz, E ^c  

^a UNIVERSITY OF CALIFORNIA   (United States)

^b UNIVERSITY OF KARLSRUHE   (Germany)

^c UNIVERSITY OF CALIFORNIA   (United States)

Author keywords

Market risks; Stable Paretian distributions; Value at risk; VAR computations

Indexed keywords

EID: 0035943851     PISSN: 08957177     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0895-7177(01)00129-7     Document Type: Article

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