References

Preprint Albanese C. Credit exposure. Diversification risk and coherent VaR. Department of Mathematics, University of Toronto; 1997.

Artzner P, Delbaen F, Eber JM, Heath D. Thinking coherently. RISK. 1997;10(11).

Artzner P, Delbaen F, Eber JM, Heath D. Coherent measures of risk. Mathematical Finance. 1999;9(3):203–228.

Barndorff-Nielsen OE. Exponentially decreasing distributions for the logarithm of particle size. In: Proceeding of the Royal Society London. Series A. 1977.

Basle Committee on Banking Supervision. An internal model-based approach to market risk capital requirements. In: Technical report. Basle, Switzerland: Basle Committee on Banking Supervision; 1995a.

Basle Committee on Banking Supervision. Planned supplement to the capital ...

Get Handbook of Heavy Tailed Distributions in Finance now with the O’Reilly learning platform.

O’Reilly members experience books, live events, courses curated by job role, and more from O’Reilly and nearly 200 top publishers.

Start your free trial