On conditional value at risk (CoVaR) for tail-dependent copulas (Q515554): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+H05
@@ Property / Mathematics Subject Classification ID: 62H05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+E05
@@ Property / Mathematics Subject Classification ID: 60E05 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+B30
@@ Property / Mathematics Subject Classification ID: 91B30 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+G40
@@ Property / Mathematics Subject Classification ID: 91G40 / rank @@
+Normal rank
@@ Property / Mathematics Subject Classification ID @@
+P05
@@ Property / Mathematics Subject Classification ID: 62P05 / rank @@
+Normal rank
@@ Property / zbMATH DE Number @@
+6695556
@@ Property / zbMATH DE Number: 6695556 / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+copulas
@@ Property / zbMATH Keywords: copulas / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+tail dependence
@@ Property / zbMATH Keywords: tail dependence / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+value-at-risk (VaR)
@@ Property / zbMATH Keywords: value-at-risk (VaR) / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conditional value-at-risk (CoVaR)
@@ Property / zbMATH Keywords: conditional value-at-risk (CoVaR) / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+conditional quantiles
@@ Property / zbMATH Keywords: conditional quantiles / rank @@
+Normal rank

Revision as of 04:01, 1 July 2023