Global ETD Search
Search theses and dissertations gathered from participating repositories worldwide. Every result links back to the library that holds it. No account is needed.
Results
Showing 1 to 1 of 1 for “"affine and non-affine processes"”.
-
Analytical Estimation of Value at Risk Under Thick Tails and Fast Volatility Updating
… future expected risk for both financial and non-financial institutions. VaR, the measure of the worst expected loss over a given horizon at a given confidence level, depends crucially on the distributional aspects of trading revenues. Existing VaR models do not capture adequately some …