مرکز منطقه ای اطلاع رساني علوم و فناوري - On time-scaling of risk and the square-root-of-time rule

Title of article :

On time-scaling of risk and the square-root-of-time rule

Author/Authors :

J?n Dan?elsson، نويسنده , , Jean-Pierre Zigrand، نويسنده ,

Issue Information :

روزنامه با شماره پیاپی سال 2006

Pages :

From page :

2701

To page :

2713

Keywords :

Value-at-Risk , Time scaling of risk , Risk regulation , Systemic risk , Jumpdiffusions , Square-root-of-time rule

Journal title :

Journal of Banking and Finance

Serial Year :

2006

Journal title :

Journal of Banking and Finance

Record number :

193926

Link To Document :