Model-free bounds on Value-at-Risk using extreme value information and statistical distances
| Autor: | Lux, Thibaut, Papapantoleon, Antonis |
|---|---|
| Zdroj: | In Insurance Mathematics and Economics May 2019 86:73-83 |
| Databáze: | ScienceDirect |
| Externí odkaz: |
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| Autor: | Lux, Thibaut, Papapantoleon, Antonis |
|---|---|
| Zdroj: | In Insurance Mathematics and Economics May 2019 86:73-83 |
| Databáze: | ScienceDirect |
| Externí odkaz: |
|
Full Text from ScienceDirect