Vector-valued tail value-at-risk and capital allocation (Q340111)
From MaRDI portal
scientific article
Language | Label | Description | Also known as |
---|---|---|---|
English | Vector-valued tail value-at-risk and capital allocation |
scientific article |
Statements
Vector-valued tail value-at-risk and capital allocation (English)
0 references
11 November 2016
0 references
bivariate tail value-at-risk
0 references
multivariate risk measures
0 references
capital allocation
0 references
copulas
0 references
bounds
0 references
0 references