Open AccessA Non-parametric Method for Calculating Conditional Stressed Value at Risk
Author(s) -
Кохей Марумо
Publication year - 2017
Publication title -
statistika i èkonomika
Language(s) - English
Resource type - Journals
ISSN - 2500-3925
DOI - 10.21686/2500-3925-2017-5-42-48
Subject(s) - value at risk , econometrics , hermite polynomials , volatility (finance) , portfolio , parametric statistics , volatility clustering , mathematics , mathematical optimization , computer science , statistics , economics , risk management , autoregressive conditional heteroskedasticity , financial economics , mathematical analysis , management