Work

The Ten Commandments for Optimizing Value-at-Risk and Daily Capital Charges

Year: 2009

Type: preprint

Source: SSRN Electronic Journal

DOI: 10.2139/ssrn.1354686

Author: Michael McAleer

Institutions: Tinbergen Institute, The University of Tokyo, Erasmus University Rotterdam

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

OpenAlex ID: W2113618773

Cites: 48

Cited by: 22

Related to: 10