Ordering of multivariate risk models with respect to extreme portfolio losses (Q3224137)
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scientific article; zbMATH DE number 6019677
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Ordering of multivariate risk models with respect to extreme portfolio losses |
scientific article; zbMATH DE number 6019677 |
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Ordering of multivariate risk models with respect to extreme portfolio losses (English)
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29 March 2012
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stochastic ordering
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portfolio loss
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multivariate regular variation
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spectral measure
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extreme risk index
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0.8913892507553101
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0.881349503993988
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0.8292603492736816
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0.8156222105026245
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0.8155819177627563
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