OpenAlex | Avoiding zero probability events when computing Value at Risk contributions

Avoiding zero probability events when computing Value at Risk contributions

Work

Year: 2022

Type: article

Source: Insurance Mathematics and Economics

Authors Takaaki Koike, Yuri F. Saporito, Rodrigo S. Targino

Institutions The Institute of Statistical Mathematics, Fundação Getulio Vargas

Cites: 39

Cited by: 4

Related to: 10

FWCI: 0.754

Citation percentile (by year/subfield): 83.62

Topic: Risk and Portfolio Optimization

Subfield: Management Science and Operations Research

Field: Decision Sciences

Domain: Social Sciences

Open Access status: green

Funder Japan Society for the Promotion of Science

Grant ID JP21K13275