Zobrazeno 1 - 3
of 3
pro vyhledávání: '"Lesedi Mabitsela"'
Publikováno v:
Communications in Statistics - Theory and Methods. 51:1791-1810
We derive a representation for dynamic capital allocation when the underlying asset price process includes extreme random price movements. Moreover, we consider the representation of dynamic risk m...
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::79e503ab6f637ff894c8e19e8841d292
https://doi.org/10.1080/03610926.2020.1768405
https://doi.org/10.1080/03610926.2020.1768405
Publikováno v:
International Journal of Theoretical and Applied Finance. 24:2150015
We consider the representation of forward entropic risk measures using the theory of ergodic backward stochastic differential equations in a jump-diffusion framework. Our paper can be viewed as an extension of the work considered by Chong et al. (201
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_________::fb762ad93321b2798fe0a484bd7de379
https://doi.org/10.1142/s0219024921500151
https://doi.org/10.1142/s0219024921500151
Publikováno v:
Journal of Risk and Financial Management, Vol 8, Iss 1, Pp 103-126 (2015)
Journal of Risk and Financial Management
Volume 8
Issue 1
Pages 103-126
Journal of Risk and Financial Management
Volume 8
Issue 1
Pages 103-126
The statistical distribution of financial returns plays a key role in evaluating Value-at-Risk using parametric methods. Traditionally, when evaluating parametric Value-at-Risk, the statistical distribution of the financial returns is assumed to be n
Externí odkaz:
https://explore.openaire.eu/search/publication?articleId=doi_dedup___::23fa573e7305fef13f89fcda967e814d
http://www.mdpi.com/1911-8074/8/1/103
http://www.mdpi.com/1911-8074/8/1/103