Класифікація методів обчислення та оцінювання мір ризику VaR і CVaR
A systematic classification of the existing approaches for popular risk measures VaR and CVaR calculating and estimating is fulfilled. A review of the most used methods is done. For convenience, the considered methods are reduced to common econometric designations and concepts, guidance on the use o...
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| Date: | 2016 |
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| Main Authors: | , |
| Format: | Article |
| Language: | English |
| Published: |
The National Technical University of Ukraine "Igor Sikorsky Kyiv Polytechnic Institute"
2016
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| Subjects: | |
| Online Access: | http://journal.iasa.kpi.ua/article/view/85588 |
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| Journal Title: | System research and information technologies |