Risk capital decomposition for a multivariate dependent gamma portfolio (Q817298)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk capital decomposition for a multivariate dependent gamma portfolio |
scientific article |
Statements
Risk capital decomposition for a multivariate dependent gamma portfolio (English)
0 references
8 March 2006
0 references
tail conditional expectation
0 references
multivariate gamma distribution
0 references
