Period Value at Risk and its Estimation by Simulation

• Yanli Huo

• Chunhui Xu

• Kuohei Osaka

• Min Huang

Journal

• Information : an international Interdisciplinary journal

  Information : an international Interdisciplinary journal 17 (6), 2605-2617, 2014-06

  Tokyo : International Information Institute

Keywords

• Market risk
• Value at Risk
• Geometric Brownian motion
• Jump process
• Simulation

Details

• CRID: 1523388081024801280
• NII Article ID: 40022664212
• NII Book ID: AA11467743
• ISSN: 13434500
• NDL BIB ID: 031636805
• Web Site: http://id.ndl.go.jp/bib/031636805
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I031636805
• Text Lang: en
• NDL Source Classification:
  • ZV1(一般学術誌--一般学術誌・大学紀要)
• Data Source:
  • NDL
  • CiNii Articles