Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure (Q5079025)
From MaRDI portal
 | This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use this page instead for the normal view: Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure |
scientific article; zbMATH DE number 7532110
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure |
scientific article; zbMATH DE number 7532110 |
Statements
Asymptotic behavior of expected shortfall for portfolio loss under bivariate dependent structure (English)
0 references
25 May 2022
0 references
asymptotics
0 references
expected shortfall
0 references
spectral risk measure
0 references
bivariate Eyraud-Farlie-Gumbel-Morgenstern copula
0 references
power-law
0 references
0 references
