Data di Pubblicazione:
2007
Abstract:
Derivation of non-Gaussian closed-form solutions for the most important risk measures, under the assumption of a Student-t distribution for financial returns. Comparison with the typical techniques used in quantitative finance.
Tipologia CRIS:
1.1 Articolo in rivista
Keywords:
Financial returns; heavy tails; Value-at-Risk; Expected Shortfall
Elenco autori:
Bormetti, Giacomo; Cisana, ENRICA VERA; Montagna, Guido; Nicrosini, Oreste
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