How to apply Tail Value at Risk over multiple time steps avoiding accumulation of conservatism and extra parameters

Berend Roorda, J.M. Schumacher

    Research output: Contribution to conferencePaperAcademic

    Original languageUndefined
    Pages-
    Publication statusPublished - 15 Jul 2008
    EventThe Bachelier Finance Society World Congress - London, UK
    Duration: 15 Jul 200819 Jul 2009

    Conference

    ConferenceThe Bachelier Finance Society World Congress
    CityLondon, UK
    Period15/07/0819/07/09

    Keywords

    • METIS-252924

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