Analysis of the Expected Shortfall of Aggregate Dependent Risks (Q5490577)
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scientific article; zbMATH DE number 5060041
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| English | Analysis of the Expected Shortfall of Aggregate Dependent Risks |
scientific article; zbMATH DE number 5060041 |
Statements
Analysis of the Expected Shortfall of Aggregate Dependent Risks (English)
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4 October 2006
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Archimedean copula
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dependent random variables
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extreme value theory
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diversification effects
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0.88510066
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0.8777061
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0.8758249
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0.8752243
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0.8734518
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0.87251765
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0.86932576
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0.86655784
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0.86316395
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0.86059654
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