Worst VaR scenarios with given marginals and measures of association (Q1017757): Difference between revisions
From MaRDI portal
m rollbackEdits.php mass rollback Tag: Rollback |
Set OpenAlex properties. |
||
| Property / full work available at URL | |||
| Property / full work available at URL: https://doi.org/10.1016/j.insmatheco.2008.12.004 / rank | |||
Normal rank | |||
| Property / OpenAlex ID | |||
| Property / OpenAlex ID: W2031203420 / rank | |||
Normal rank | |||
Revision as of 08:36, 20 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Worst VaR scenarios with given marginals and measures of association |
scientific article |
Statements
Worst VaR scenarios with given marginals and measures of association (English)
0 references
12 May 2009
0 references
value-at-risk
0 references
tail-value-at-risk
0 references
worst case scenarios
0 references
copulas
0 references
measures of association
0 references
dependence properties
0 references
