authors
- BALBAS DE LA CORTE, ALEJANDRO
- BALBAS APARICIO, BEATRIZ
- BALBAS APARICIO, RAQUEL
Differential equations connecting VaR and CVaR
Working Papers
Overview
publication date
- 2017
series title
- Working paper Business Economic Series
full text
series number
- 17-01
Classification
keywords
- var and cvar; differential equations; var representation theorem; risk optimization and probabilistic constraints; risk and marginal risk estimation