On the bounds of value-at-risk for portfolio of interdependent risks (Q4998243)
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scientific article; zbMATH DE number 7365898
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| English | On the bounds of value-at-risk for portfolio of interdependent risks |
scientific article; zbMATH DE number 7365898 |
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1 July 2021
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comonotone
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copula
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dependency uncertainty spread
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0.8855031728744507
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0.8703710436820984
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0.8630135655403137
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0.8437609672546387
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0.8415178060531616
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