TVaR-based capital allocation with copulas (Q659153)

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TVaR-based capital allocation with copulas
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    Statements

    title
    TVaR-based capital allocation with copulas (English)
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    author
    Mathieu Bargès
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    Hélène Cossette
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    Étienne Marceau
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    publication date
    10 February 2012
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    zbMATH Keywords
    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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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    91G10
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    60E05
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    62H05
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    zbMATH DE Number
    6004652
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    Wikidata QID
    Q59444597
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