A directional multivariate value at risk (Q896753)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | A directional multivariate value at risk |
scientific article |
Statements
A directional multivariate value at risk (English)
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14 December 2015
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multivariate risks
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value at risk
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directional approach
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multivariate quantile
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copula
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0.8860617280006409
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0.8759426474571228
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0.8393392562866211
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0.8289738297462463
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0.8222436308860779
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