Items where Author is "Mandira, Sarma"

Item Type No Grouping

Working paper

Fat tails, VaR and subadditivity. Danielsson, Jon and de Vries, Casper G. and Jorgensen, Bjorn and Samorodnitsky, Gennady and Mandira, Sarma

Subadditivity re–examined:the case for value-at-risk. Danielsson, Jon and Jorgensen, Bjørn N. and Mandira, Sarma and Samorodnitsky, Gennady and Vries, C. G. de