Revisiting the Edge, Ten Years On
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Publication:3585268
DOI10.1080/03610920902822670zbMath1197.60048MaRDI QIDQ3585268
Valérie Chavez-Demoulin, Paul Embrechts
Publication date: 19 August 2010
Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610920902822670
copula; aggregation; extreme value theory; value-at-risk; quantile estimation; dependence; operational risk; banking regulation
60G70: Extreme value theory; extremal stochastic processes
62G32: Statistics of extreme values; tail inference
91G80: Financial applications of other theories
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