On the isolated impact of copulas on risk measurement : asimulation study
Theo Berger
| Year of publication: |
November 2016
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|---|---|
| Authors: | Berger, Theo |
| Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 58.2016, p. 475-481
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| Subject: | Portfolio Value-at-Risk | Copulas | Simulation | Forecasting | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Prognoseverfahren | Forecasting model | Theorie | Theory | Risiko | Risk | Risikomanagement | Risk management |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.econmod.2015.12.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011647502