상세정보
- |Home >
- 상세정보
부가기능
Analytical risk contributions for non-linear portfolios: The value-at-risk of portfolios needs to account for non-linear effects in the loss distribution's dependence on risk factors. Using the classical Cornish-Fisher expansion, the authors derive analytical formulas for risk contributions to the VAR by applying the Euler principle that aid capital allocation across sub-portfolios, and save computing time and data volume in comparison with a traditional Monte Carlo approach
기사 상세정보
소장정보
- 소장정보
| No. | 권호·제본정보 보기 | 소장처 | 소장사항 | 청구기호 | 구독 | 최근입수호 |
|---|---|---|---|---|---|---|
| 1 | 중앙도서관/3층 외국학술지지원센터/ | 658.155 R595 | 구독중단 | v.27 no.7 |
하단메뉴
