On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (Q5088126)
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scientific article; zbMATH DE number 7552808
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails |
scientific article; zbMATH DE number 7552808 |
Statements
On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (English)
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4 July 2022
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value-at-risk
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portfolio loss
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bivariate Eyraud-Farlie-Gumbel-Morgenstern copula
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power-law
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diversification
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