Ordering of multivariate risk models with respect to extreme portfolio losses (Q3224137): Difference between revisions
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Revision as of 20:50, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ordering of multivariate risk models with respect to extreme portfolio losses |
scientific article |
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Ordering of multivariate risk models with respect to extreme portfolio losses (English)
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29 March 2012
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stochastic ordering
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portfolio loss
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multivariate regular variation
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spectral measure
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extreme risk index
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