National Laboratory / stable Paretian / Levy stable / Statistics Stony Brook University / Business Engineering Karlsruhe Institute of Technology / University of California / College of Letters / Stoyan V. Stoyanov EDHEC Business School EDHEC-Risk Institute / /
IndustryTerm
power law / risk management systems / /
Organization
Frey Family Foundation / Svetlozar T. Rachev∗ Department of Applied Mathematics / Department of Applied Mathematics & Statistics / College of Letters and Science / Impressum Karlsruher Institut für Technologie / Institut für Wirtschaftstheorie / University of California / Santa Barbara / Institute of Technology / USA School of Economics / Applied Mathematics & Statistics Stony Brook University / Division of Mathematical / Life and Physical Sciences / University of the State of Baden-Wuerttemberg and National Laboratory / Yale School of Management / Fakultät für Wirtschaftswissenschaften Institut für Wirtschaftspolitik / Helmholtz Association / Stony Brook University / /
Person
T. Rachev / Stoyan V. Stoyanov / Frank J. Fabozzi / Nassim Taleb / /
CVaR sensitivity with respect to tail thickness by Stoyan V. Stoyanov, Svetlozar T. Rachev, Frank J. Fabozzi