Systemic risk and copula models

DOI10.1007/s10100-018-0525-zzbMath1397.91609OpenAlexW2785840877MaRDI QIDQ1787919

Georg Ch. Pflug, Alois Pichler

Publication date: 5 October 2018

Published in: CEJOR. Central European Journal of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10100-018-0525-z

zbMATH Keywords

copularisk measuresstochastic dominanceconvex order relations

Mathematics Subject Classification ID

Inequalities; stochastic orderings (60E15) Statistical methods; risk measures (91G70) Deterministic network models in operations research (90B10)

Related Items (4)

Large scale extreme risk assessment using copulas: an application to drought events under climate change for Austria ⋮ Emerging and innovative OR applications: a special issue in honor of Walter J. Gutjahr ⋮ Modelling cascading effects for systemic risk: properties of the Freund copula ⋮ Multi-feature evaluation of financial contagion

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• The Existence of Probability Measures with Given Marginals
• Some applications of multidimensional integration by parts
• Stochastic multi-objective optimization: a survey on non-scalarizing methods

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