Vector-valued tail value-at-risk and capital allocation (Q340111)
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scientific article; zbMATH DE number 6652317
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Vector-valued tail value-at-risk and capital allocation |
scientific article; zbMATH DE number 6652317 |
Statements
Vector-valued tail value-at-risk and capital allocation (English)
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11 November 2016
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bivariate tail value-at-risk
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multivariate risk measures
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capital allocation
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copulas
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bounds
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0.8548646569252014
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0.8058496713638306
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0.7928022742271423
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0.7798444628715515
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0.7796068787574768
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