Open AccessProperties of alternative VaR for multivariate normal distributions
Author(s) -
Chong Sun Hong,
Gi Pum Lee
Publication year - 2016
Publication title -
journal of the korean data and information science society
Language(s) - Norwegian
Resource type - Journals
ISSN - 1598-9402
DOI - 10.7465/jkdi.2016.27.6.1453
Subject(s) - multivariate statistics , univariate , portfolio , value at risk , vector autoregression , mathematics , statistics , econometrics , multivariate analysis , economics , financial economics , risk management , management