Using copulae to bound the Value-at-Risk for functions of dependent risks
Paul Embrechts; Andrea Höing; Alessandro Juri
| Year of publication: |
2003
|
|---|---|
| Authors: | Embrechts, Paul ; Höing, Andrea ; Juri, Alessandro |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 7.2003, 2, p. 145-167
|
| Subject: | Risikomanagement | Risk management | Theorie | Theory | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution |
| Extent: | graph. Darst |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10001762730