Where is the Distribution Tail Threshold? A Tale on Tail and Copulas in Financial Risk Measurement
Year of publication: |
2022
|
---|---|
Authors: | Gonzalez Sanchez, Mariano ; Nave, Juan Miguel |
Publisher: |
[S.l.] : SSRN |
Subject: | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Statistische Verteilung | Statistical distribution | Messung | Measurement | Theorie | Theory | Risiko | Risk |
-
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob, (2016)
-
Hürlimann, Werner, (2014)
-
Stressed portfolio optimization with semiparametric method
Han, Chuan-Hsiang, (2022)
- More ...
-
Comparative analysis of interest rate term structures in the Solvency II environment
Gonzalez Sanchez, Mariano, (2020)
-
Gonzalez Sanchez, Mariano, (2020)
-
Gonzalez Sanchez, Mariano, (2022)
- More ...