Daniel Small

University of Freiburg

Fahnenbergplatz

Freiburg, D-79085

Germany

SCHOLARLY PAPERS

1

DOWNLOADS

161

SSRN CITATIONS

3

CROSSREF CITATIONS

2

Scholarly Papers (1)

1.

Reduction of Value-at-Risk Bounds via Independence and Variance Information

Forthcoming in Scandinavian Actuarial Journal
Number of pages: 18 Posted: 27 Mar 2015 Last Revised: 11 Nov 2015
University of Milan - Department of Economics, Management and Quantitative Methods (DEMM), University of Freiburg, University of Freiburg and Vrije Universiteit Brussel (VUB)
Downloads 161 (199,447)
Citation 9

Abstract:

Loading...

Value-at-Risk, Dependence Uncertainty, Model Risk, Expected Shortfall