Alexandr Pekelis

University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance

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Tail Risk Hedging and Regime Switching

Asian Finance Association (AsianFA) 2015 Conference Paper
Number of pages: 40 Posted: 17 Oct 2011 Last Revised: 05 Aug 2016
Markus Huggenberger, Peter Albrecht and Alexandr Pekelis
University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance, University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance and University of Mannheim - Department of Risk Theory, Portfolio Management and Insurance
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Abstract:

Value-at-Risk, Conditional-Value-at-Risk, regime-switching models, elliptical distributions, futures hedging