Worst VaR scenarios (Q2567093)
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scientific article; zbMATH DE number 2211191
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Worst VaR scenarios |
scientific article; zbMATH DE number 2211191 |
Statements
Worst VaR scenarios (English)
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29 September 2005
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value-at-risk
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dependent risks
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copulas
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comonotonic risks
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0.9101572036743164
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0.8674382567405701
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0.8299355506896973
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0.8112472295761108
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0.8010408878326416
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