Up- and down-correlations in normal variance mixture models (Q6192365): Difference between revisions

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+Coherent Measures of Risk
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+Normal rank
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+Linear-time accurate lattice algorithms for tail conditional expectation
+Normal rank
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+Conditional and dynamic convex risk measures
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+Normal rank
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+Tail Variance Premium with Applications for Elliptical Portfolio of Risks
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+A note on conditional covariance matrices for elliptical distributions
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+CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
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+Multivariate tail conditional expectation for elliptical distributions
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+Asymptotic behaviour of multivariate default probabilities and default correlations under stress
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+Markowitz Revisited: Mean-Variance Models in Financial Portfolio Analysis
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