Open AccessClassification of methods for risk measures VaR and CVaR calculation and estimation
Author(s) -
Nataliia G. Zrazhevska,
A. G. Zrazhevsky
Publication year - 2016
Publication title -
sistemnì doslìdžennâ ta ìnformacìjnì tehnologìï
Language(s) - English
Resource type - Journals
eISSN - 2308-8893
pISSN - 1681-6048
DOI - 10.20535/srit.2308-8893.2016.3.11
Subject(s) - cvar , correctness , estimation , econometrics , computer science , mathematics , statistics , risk management , expected shortfall , economics , algorithm , finance , management