TVaR-based capital allocation with copulas (Q659153): Difference between revisions
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Revision as of 21:40, 19 March 2024
scientific article
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English | TVaR-based capital allocation with copulas |
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TVaR-based capital allocation with copulas (English)
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10 February 2012
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capital allocation
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tail value at risk
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dependence models
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copulas
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discretization methods
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