Borek Puza

Australian National University

Dr

Research School of Finance, Actuarial Studies,

and Applied Statistics

Canberra, Australian Capital Territory 2601

Australia

http://cbe.anu.edu.au/about-us/about-us/people/?profile=Borek-Puza

Financial Research Network (FIRN)

C/- University of Queensland Business School

St Lucia, 4071 Brisbane

Queensland

Australia

SCHOLARLY PAPERS

2

DOWNLOADS

85

CITATIONS

0

Scholarly Papers (2)

1.

Approximations of VAR as an Extreme Quantile of a Random Sum of Heavy-Tailed Random Variables

The Journal of Operational Risk, June 2015
Number of pages: 20 Posted: 22 Nov 2014 Last Revised: 20 May 2015
Lincoln Hannah and Borek Puza
FIS and Australian National University
Downloads 49 (243,007)

Abstract:

Extreme quantile; heavy-tailed; random sum; subexponential; value at risk

2.

Approximations of Value-at-Risk As an Extreme Quantile of a Random Sum of Heavy-Tailed Random Variables

Journal of Operational Risk, Vol. 10, No. 2, 2015
Number of pages: 22 Posted: 01 Jul 2016
Lincoln Hannah and Borek Puza
FIS and Australian National University
Downloads 0 (548,619)

Abstract:

extreme quantile, heavy-tailed, random sum, subexponential, value-at-risk