CVaR sensitivity with respect to tail thickness

Stoyan V. Stoyanov, Svetlozar Rachev, Frank J. Fabozzi

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@article{c6a583fb70974066832d2a06004a371d,

title = "CVaR sensitivity with respect to tail thickness",

author = "Stoyanov, {Stoyan V.} and Svetlozar Rachev and Fabozzi, {Frank J.}",

year = "2013",

month = mar,

doi = "10.1016/j.jbankfin.2012.11.010",

language = "English",

pages = "977--988",

journal = "Journal of Banking & Finance",

issn = "0378-4266",

}