TVaR-based capital allocation with copulas (Q659153)
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scientific article; zbMATH DE number 6004652
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | TVaR-based capital allocation with copulas |
scientific article; zbMATH DE number 6004652 |
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TVaR-based capital allocation with copulas (English)
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10 February 2012
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capital allocation
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tail value at risk
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dependence models
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copulas
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discretization methods
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0.8744072914123535
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0.8637689352035522
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0.8241737484931946
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0.8150500059127808
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