Essays about: "elliptical distri-bution"

Found 1 essay containing the words elliptical distri-bution.

  1. 1. Risk contribution and its application in asset and risk management for life insurance

    University essay from KTH/Matematisk statistik

    Author : Jesper Sundin; [2016]
    Keywords : Risk contribution; capital allocation; Value-at-Risk; elliptical distri-bution; multivariate log-normal distribution; kernel estimation;

    Abstract : In risk management one important aspect is the allocation of total portfolio risk into its components. This can be done by measuring each components' risk contribution relative to the total risk, taking into account the covariance between components. READ MORE