Quantile uncertainty and value-at-risk model risk
作者： Carol Alexander , José María Sarabia
DOI: 10.1111/J.1539-6924.2012.01824.X
关键词:
摘要: … the model risk of quantile risk assessments with particular reference to “Value-at-Risk” (VaR… This article introduces a new framework for measuring quantile model risk and derives an …
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carolalexander.org 参考文章(73)
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