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Pichet Thiansathaporn
Demonstrations 1 - 5 of 5
Generalized Extreme Value Distributions: Application in Financial Risk Management
Portfolio Diversification Benefit from Subadditive VaR
Attributing Portfolio Value at Risk: Relations with Component VaR, Marginal VaR, and Incremental VaR
Principal Components Analysis: Application in Value at Risk and Expected Shortfall
Fisher-Tippett-Gnedenko Theorem: Generalizing Three Types of Extreme Value Distributions
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