Assessment of dependent risk using extreme value theory in a time-varying framework (Q5886714): Difference between revisions

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Latest revision as of 21:58, 31 July 2024

scientific article; zbMATH DE number 7673119
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English
Assessment of dependent risk using extreme value theory in a time-varying framework
scientific article; zbMATH DE number 7673119

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    Assessment of dependent risk using extreme value theory in a time-varying framework (English)
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    6 April 2023
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    extreme value theory
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    risk measures
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    copula
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    backtesting
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    ruin probability
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