Estimation of risk contributions with MCMC (Q5234382): Difference between revisions
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Revision as of 19:24, 5 March 2024
scientific article; zbMATH DE number 7110500
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of risk contributions with MCMC |
scientific article; zbMATH DE number 7110500 |
Statements
Estimation of risk contributions with MCMC (English)
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26 September 2019
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value-at-risk
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risk allocation
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risk contributions
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VaR contributions
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copulas
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Markov chain Monte Carlo
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Metropolis-Hastings algorithm
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