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A New Method for the Decomposition of Portfolio VaR

A New Method for the Decomposition of Portfolio VaR
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摘要 In this paper, we give a new method of decomposing of portfolio VaR which are held with the hypotheses of non-normal distribution, based on the mutual relationships of marginal VaR, component VaR and Incremental VaR, and have the same results with decomposing of portfolio under the hypotheses of normal distribution.
出处 《Journal of Systems Science and Information》 2006年第4期721-727,共7页 系统科学与信息学报(英文)
关键词 portfolio VaR marginal VaR component VaR incremental VaR g - h distribution 市场风险 投资 风险值 风险管理
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