MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK (Q5213447)
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scientific article; zbMATH DE number 7162006
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK |
scientific article; zbMATH DE number 7162006 |
Statements
MULTIVARIATE GEOMETRIC TAIL- AND RANGE-VALUE-AT-RISK (English)
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3 February 2020
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multivariate risk measures
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tail-value-at-risk
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range-value-at-risk
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geometric quantiles
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dependence
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0.8950403
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0.89459777
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0.8919869
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0.8899575
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0.8783477
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0.8781513
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0.8768045
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0.87205255
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0.87104905
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