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- W3149342193 abstract "Throughout this paper, we discuss the problem of calculation of the value at risk and the expected shortfall risk measures in the skewed Student's t model. The investment portfolio which consists of assets with deterministic, inverse gamma and skewed Student's t returns is considered. Analytical results for the mentioned above monetary risk measures are derived basing on the formulas for the distribution functions of losses. The obtained formulas depend on the values of special mathematical functions including the generalized hypergeometric ones. Numerical examples of the computations are given." @default.
- W3149342193 created "2021-04-13" @default.
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- W3149342193 date "2020-01-01" @default.
- W3149342193 modified "2023-10-08" @default.
- W3149342193 title "The Risk Measurement in the Skewed Student’s t Model" @default.
- W3149342193 doi "https://doi.org/10.2139/ssrn.3740156" @default.
- W3149342193 hasPublicationYear "2020" @default.
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