TVaR-based capital allocation with copulas (Q659153): Difference between revisions
From MaRDI portal
Created claim: Wikidata QID (P12): Q59444597, #quickstatements; #temporary_batch_1706897434465 |
Set profile property. |
||
Property / MaRDI profile type | |||
Property / MaRDI profile type: MaRDI publication profile / rank | |||
Normal rank |
Revision as of 01:53, 5 March 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | TVaR-based capital allocation with copulas |
scientific article |
Statements
TVaR-based capital allocation with copulas (English)
0 references
10 February 2012
0 references
capital allocation
0 references
tail value at risk
0 references
dependence models
0 references
copulas
0 references
discretization methods
0 references