Distributional bounds for portfolio risk with tail dependence (Q496974)
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scientific article; zbMATH DE number 6484506
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Distributional bounds for portfolio risk with tail dependence |
scientific article; zbMATH DE number 6484506 |
Statements
Distributional bounds for portfolio risk with tail dependence (English)
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23 September 2015
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risk management
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market risks
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tail dependence
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copulas
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Fréchet bounds
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0.8130788803100586
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0.7952271699905396
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0.7863437533378601
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0.7856313586235046
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