Worst VaR scenarios: A remark (Q1017758)

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Worst VaR scenarios: A remark
scientific article

    Statements

    title
    Worst VaR scenarios: A remark (English)
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    author
    Roger J. A. Laeven
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    publication date
    12 May 2009
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    zbMATH Keywords
    dependent risks
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    value-at-risk
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    copulas
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    worst-case scenarios
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    comonotonicity
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    60E05
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    60E15
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    62P05
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    zbMATH DE Number
    5553069
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    OpenAlex ID
    W3122572929
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