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Financial Risk and Heavy Tails

Published:2003 Issue: Volume: Page:35-103
ISSN:
Container-title:Handbook of Heavy Tailed Distributions in Finance
language:
Short-container-title:

Author:

Bradley Brendan O.,Taqqu Murad S.

Publisher

Elsevier

Reference77 articles.

1. Credit exposure. Diversification risk and coherent VaR;Albanese,1997

2. Thinking coherently;Artzner;RISK,1997

3. Coherent measures of risk;Artzner;Mathematical Finance,1999

4. Exponentially decreasing distributions for the logarithm of particle size;Barndorff-Nielsen,1977

5. An internal model-based approach to market risk capital requirements;Basle Committee on Banking Supervision,1995

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