Asymptotic risk decomposition for regularly varying distributions with tail dependence (Q2141226)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotic risk decomposition for regularly varying distributions with tail dependence |
scientific article |
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Asymptotic risk decomposition for regularly varying distributions with tail dependence (English)
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23 May 2022
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asymptotic risk decomposition
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regular variation
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tail dependence
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value at risk
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capital allocation
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conditional tail expectation
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