Upper bounds on value-at-risk for the maximum portfolio loss (Q482076): Difference between revisions
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Revision as of 01:24, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Upper bounds on value-at-risk for the maximum portfolio loss |
scientific article |
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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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