Stress-Responsive Lambda Value at Risk with a VIX-Driven Smooth Sigmoid Distortion

SSRN Electronic Journal 2026 Preprint Open access

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Authors: Nassamon Bootwisas, Pasin Marupanthorn

DOI: 10.2139/ssrn.6002314

Cited by: 0

Fields of Study & Subjects

Stochastic processes and financial applications Risk and Portfolio Optimization Financial Risk and Volatility Modeling