Risk attribution and semi-heavy tailed distributions

Author: Edit Rroji

Advisor: Marco Marchioro

Language: English

Keywords: risk, risk measures, phd thesis, risk decomposition, heavy tails, risk attribution, expectiles, kalman filter, tempered Stable distribution, principal component analysis, independent component analysis, user-defined factors

Pdf file: Rroji-advs-Marchioro.pdf

Rroji-advs-Marchioro

Something to Say?