Which eligible assets are compatible with comonotonic capital requirements? (Q1667405)
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scientific article; zbMATH DE number 6928199
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Which eligible assets are compatible with comonotonic capital requirements? |
scientific article; zbMATH DE number 6928199 |
Statements
Which eligible assets are compatible with comonotonic capital requirements? (English)
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28 August 2018
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comonotonicity
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risk measures
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acceptance sets
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eligible assets
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value at risk
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expected shortfall
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0.8020585775375366
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0.7824159264564514
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0.772229790687561
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0.7607715129852295
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0.7566237449645996
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