Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (Q2063751): Difference between revisions
From MaRDI portal
Changed an Item |
Changed an Item |
||
Property / describes a project that uses | |||
Property / describes a project that uses: QRM / rank | |||
Normal rank |
Revision as of 06:25, 29 February 2024
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Generating unfavourable VaR scenarios under Solvency II with patchwork copulas |
scientific article |
Statements
Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (English)
0 references
3 January 2022
0 references
Solvency II
0 references
copulas
0 references
patchwork copulas
0 references
Bernstein copulas
0 references
Monte Carlo methods
0 references