Worst VaR scenarios with given marginals and measures of association (Q1017757)
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scientific article; zbMATH DE number 5553068
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| English | Worst VaR scenarios with given marginals and measures of association |
scientific article; zbMATH DE number 5553068 |
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Worst VaR scenarios with given marginals and measures of association (English)
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12 May 2009
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value-at-risk
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tail-value-at-risk
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worst case scenarios
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copulas
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measures of association
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dependence properties
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0.8674382567405701
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0.8617974519729614
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0.8520907163619995
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0.8402606248855591
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0.8313426971435547
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