Upper bounds on value-at-risk for the maximum portfolio loss (Q482076)
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scientific article; zbMATH DE number 6381857
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| English | Upper bounds on value-at-risk for the maximum portfolio loss |
scientific article; zbMATH DE number 6381857 |
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Upper bounds on value-at-risk for the maximum portfolio loss (English)
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19 December 2014
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Tawn-Molchanov model
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max-stable
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lower orthant order
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maximum portfolio loss
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value at risk
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0.8855772
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0.8851985
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0.8706978
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