- Tytuł:
- Small perturbations with large effects on value-at-risk
- Autorzy:
-
Esquível, Manuel
Dimas, Luís
Mexia, João
Didier, Philippe - Powiązania:
- https://bibliotekanauki.pl/articles/729834.pdf
- Data publikacji:
- 2013
- Wydawca:
- Uniwersytet Zielonogórski. Wydział Matematyki, Informatyki i Ekonometrii
- Tematy:
-
Gaussian perturbation
value-at-risk
delta-normal model - Opis:
- We show that in the delta-normal model there exist perturbations of the Gaussian multivariate distribution of the returns of a portfolio such that the initial marginal distributions of the returns are statistically undistinguishable from the perturbed ones and such that the perturbed V@R is close to the worst possible V@R which, under some reasonable assumptions, is the sum of the V@Rs of each of the portfolio assets.
- Źródło:
-
Discussiones Mathematicae Probability and Statistics; 2013, 33, 1-2; 151-169
1509-9423 - Pojawia się w:
- Discussiones Mathematicae Probability and Statistics
- Dostawca treści:
- Biblioteka Nauki
Artykuł