Ordering of multivariate risk models with respect to extreme portfolio losses (Q3224137)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Ordering of multivariate risk models with respect to extreme portfolio losses |
scientific article |
Statements
Ordering of multivariate risk models with respect to extreme portfolio losses (English)
0 references
29 March 2012
0 references
stochastic ordering
0 references
portfolio loss
0 references
multivariate regular variation
0 references
spectral measure
0 references
extreme risk index
0 references
