VaR-implied tail-correlation matrices (Q2016009)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | VaR-implied tail-correlation matrices |
scientific article |
Statements
VaR-implied tail-correlation matrices (English)
0 references
18 June 2014
0 references
downside risk
0 references
estimation efficiency
0 references
portfolio optimization
0 references
positive semidefiniteness
0 references
Solvency II
0 references
value-at-risk
0 references
