Worst VaR scenarios: A remark (Q1017758)
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scientific article; zbMATH DE number 5553069
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Worst VaR scenarios: A remark |
scientific article; zbMATH DE number 5553069 |
Statements
Worst VaR scenarios: A remark (English)
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12 May 2009
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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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0.9101572036743164
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0.8617974519729614
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0.849067211151123
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0.8203655481338501
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0.8132908940315247
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