Upper bounds on value-at-risk for the maximum portfolio loss (Q482076): Difference between revisions
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| Property / author: Q482075 / rank | |||
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| Property / author: Stilian A. Stoev / rank | |||
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| Property / Mathematics Subject Classification ID: 91G10 / rank | |||
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| Property / Mathematics Subject Classification ID: 62P05 / rank | |||
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| Property / Mathematics Subject Classification ID: 60G70 / rank | |||
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| Property / Mathematics Subject Classification ID: 62G32 / rank | |||
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| Property / zbMATH DE Number: 6381857 / rank | |||
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Tawn-Molchanov model | |||
| Property / zbMATH Keywords: Tawn-Molchanov model / rank | |||
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max-stable | |||
| Property / zbMATH Keywords: max-stable / rank | |||
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lower orthant order | |||
| Property / zbMATH Keywords: lower orthant order / rank | |||
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maximum portfolio loss | |||
| Property / zbMATH Keywords: maximum portfolio loss / rank | |||
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value at risk | |||
| Property / zbMATH Keywords: value at risk / rank | |||
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| Property / full work available at URL: https://doi.org/10.1007/s10687-014-0198-5 / rank | |||
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Latest revision as of 21:30, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Upper bounds on value-at-risk for the maximum portfolio loss |
scientific article |
Statements
Upper bounds on value-at-risk for the maximum portfolio loss (English)
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19 December 2014
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Tawn-Molchanov model
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max-stable
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lower orthant order
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maximum portfolio loss
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value at risk
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