Open AccessNew Ways to Measure Catastrophic Financial Risks: “VaR to the power of t” Measures and How to Calculate Them
Author(s) -
В. Б. Минасян
Publication year - 2020
Publication title -
finansy: teoriâ i praktika
Language(s) - English
Resource type - Journals
eISSN - 2587-7089
pISSN - 2587-5671
DOI - 10.26794/2587-5671-2020-24-3-92-109
Subject(s) - actuarial science , risk measure , measure (data warehouse) , financial risk , work (physics) , dynamic risk measure , value at risk , coherent risk measure , econometrics , economics , risk management , risk analysis (engineering) , finance , business , computer science , engineering , portfolio , mechanical engineering , database