A new algorithm based on copulas for VaR valuation with empirical calculations (Q883999)
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scientific article; zbMATH DE number 5163851
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A new algorithm based on copulas for VaR valuation with empirical calculations |
scientific article; zbMATH DE number 5163851 |
Statements
A new algorithm based on copulas for VaR valuation with empirical calculations (English)
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13 June 2007
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value-at-risk
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copulas
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Spearman's rho
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Monte Carlo simulation
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0.8805456757545471
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0.8445296883583069
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0.8123834133148193
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0.7963036298751831
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