TVaR-based capital allocation with copulas (Q659153): Difference between revisions

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Latest revision as of 22:10, 4 July 2024

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TVaR-based capital allocation with copulas
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    TVaR-based capital allocation with copulas (English)
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    10 February 2012
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    capital allocation
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    tail value at risk
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    dependence models
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    copulas
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    discretization methods
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