Πλοήγηση NUP Academic Publications - Ακαδημαϊκές Δημοσιεύσεις ΠΝΠ ανά Θέμα "Generalised extreme value distribution"
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Coherent risk measures under filtered historical simulation
(Elsevier, 2005-04)Recent studies have strongly criticised conventional VaR models for not providing a coherent risk measure. Acerbi provides the intuition for an entire family of coherent measures of risk known as “spectral risk measures” ...