Upper bounds on value-at-risk for the maximum portfolio loss (Q482076)

From MaRDI portal
Revision as of 18:49, 9 December 2024 by Import241208061232 (talk | contribs) (Normalize DOI.)
(diff) ← Older revision | Latest revision (diff) | Newer revision → (diff)
scientific article
Language Label Description Also known as
English
Upper bounds on value-at-risk for the maximum portfolio loss
scientific article

    Statements

    title
    Upper bounds on value-at-risk for the maximum portfolio loss (English)
    0 references
    author
    Robert Yuen
    0 references
    Stilian A. Stoev
    0 references
    published in
    Extremes
    0 references
    publication date
    19 December 2014
    0 references
    zbMATH Keywords
    Tawn-Molchanov model
    0 references
    max-stable
    0 references
    lower orthant order
    0 references
    maximum portfolio loss
    0 references
    value at risk
    0 references

    Identifiers

    Mathematics Subject Classification ID
    91G10
    0 references
    62P05
    0 references
    60G70
    0 references
    62G32
    0 references
    zbMATH DE Number
    6381857
    0 references
    OpenAlex ID
    W2037277027
    0 references
     
    Retrieved from "https://portal.mardi4nfdi.de/w/index.php?title=Item:Q482076&oldid=38366325"
    Powered by MediaWiki