Michael Olschewsky

Hamburger Sparkasse

Hamburg

Germany

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Finite Difference Methods for Estimating Marginal Risk Contributions in Asset Management

Journal of Risk, Vol. 18, No. 5, 2016
Number of pages: 38 Posted: 20 Jun 2016
Michael Olschewsky, Stefan Lüdemann and Thorsten Poddig
Hamburger Sparkasse, University of Bremen and University of Bremen
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Abstract:

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risk contributions, estimation error, expected shortfall (ES).finite difference (FD) methods, kernel density estimation