مرکز منطقه ای اطلاع رساني علوم و فناوري - Coherent risk measures under filtered historical simulation

Title of article :

Coherent risk measures under filtered historical simulation

Author/Authors :

Kostas Giannopoulos، نويسنده , , Radu Tunaru، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2005

Pages :

From page :

979

To page :

996

Keywords :

Filtered historical simulation , Ordered statistics , Coherent measure , Spectral risk measure , Generalised extreme value distribution , expected shortfall

Journal title :

Journal of Banking and Finance

Serial Year :

2005

Journal title :

Journal of Banking and Finance

Record number :

193719

Link To Document :

https://search.isc.ac/dl/search/defaultta.aspx?DTC=10&DC=193719