Work

Portfolio Value‐at‐Risk with Heavy‐Tailed Risk Factors

Year: 2002

Type: article

Source: Mathematical Finance

DOI: 10.1111/1467-9965.00141

Authors: Paul Glasserman, Philip Heidelberger, Perwez Shahabuddin

Institution: Columbia University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: closed

OpenAlex ID: W2167783264

FWCI: 24.07

Cites: 48

Cited by: 285

Related to: 10