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Articles, 2 records found
Articles 2 records found  
1.
18 p, 986.2 KB Modelling extreme values by the residual coefficient of variation / Castillo, Joan del (Universitat Autònoma de Barcelona. Secció de Matemàtiques) ; Padilla Cozar , Maria
The possibilities of the use of the coefficient of variation over a high threshold in tail modelling are discussed. The paper also considers multiple threshold tests for a generalized Pareto distribution, together with a threshold selection algorithm. [...]
2016
SORT : statistics and operations research transactions, Vol. 40 Núm. 2 (July-December 2016) , p. 303-320 (Articles)  
2.
24 p, 373.3 KB Variance reduction technique for calculating value at risk in fixed income portfolios / Abad, Pilar ; Benito, Sonia
Financial institutions and regulators increasingly use Value at Risk (VaR) as a standard measure for market risk. Thus, a growing amount of innovative VaR methodologies is being developed by researchers in order to improve the performance of traditional techniques. [...]
2010
SORT : statistics and operations research transactions, Vol. 34, Núm. 1 (January-June 2010) , p. 21-44  

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