A general approach to integrated risk management with skewed, fat-tailed risks

MaRDI QIDQ4586567zbMATH OpenFDO

Authors Joshua Rosenberg, Til Schuermann

Publication date 27 October 2017

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cited in

(7)

• Aggregation of dependent risks using the Koehler-Symanowski copula function
• Measuring the coupled risks: A copula-based CVaR model
• Top-down approaches for integrated risk management: how accurate are they?
• Simultaneously capturing multiple dependence features in bank risk integration: a mixture copula framework
• Evolutionary Multi-Criterion Optimization
• Integrated risk management: risk aggregation and allocation using intelligent systems
• scientific article; zbMATH DE number 7387532 (Why is no real title available?)

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