VaR-implied tail-correlation matrices (Q2016009)
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scientific article; zbMATH DE number 6305225
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| English | VaR-implied tail-correlation matrices |
scientific article; zbMATH DE number 6305225 |
Statements
VaR-implied tail-correlation matrices (English)
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18 June 2014
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downside risk
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estimation efficiency
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portfolio optimization
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positive semidefiniteness
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Solvency II
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value-at-risk
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0.7344452738761902
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0.7329042553901672
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0.7277292013168335
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0.727478563785553
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0.7248504757881165
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