Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (Q1041011): Difference between revisions
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Revision as of 20:50, 28 February 2024
scientific article
| Language | Label | Description | Also known as |
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| English | Efficient risk simulations for linear asset portfolios in the \(t\)-copula model |
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Efficient risk simulations for linear asset portfolios in the \(t\)-copula model (English)
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27 November 2009
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risk management
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importance sampling
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linear asset portfolio
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\(t\)-copula
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generalized hyperbolic distribution
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