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subject:"Risiko"
type:"article"
~person:"Puccetti, Giovanni"
~subject:"Copula"
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Risiko
Copula
Risikomanagement
7
Risikomaß
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Risk management
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Risk measure
7
Theorie
6
Theory
6
Risk
5
Value-at-Risk
3
Aggregation
2
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Risk aggregation
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expected shortfall
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(T)VaR bounds
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Cluster analysis
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Estimation theory
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Puccetti, Giovanni
Wang, Ruodu
16
Mao, Tiantian
10
Fabozzi, Frank J.
9
Cai, Jun
8
Li, Jianping
8
Righi, Marcelo Brutti
8
Sherris, Michael
8
Boonen, Tim J.
7
Li, Johnny Siu-Hang
7
Qazi, Abroon
7
Balbás de la Corte, Alejandro
6
Guillén, Montserrat
6
Ji, Qiang
6
Kakushadze, Zura
6
Rüschendorf, Ludger
6
Tan, Ken Seng
6
Zhu, Xiaoqian
6
Bhansali, Vineer
5
Broll, Udo
5
Chen, Zhiping
5
Cossette, Hélène
5
Embrechts, Paul
5
Furman, Edward
5
Ghadge, Abhijeet
5
Karmakar, Madhusudan
5
Mirakhor, Abbas
5
Mitra, Sovan
5
Naeem, Muhammad Abubakr
5
Quigley, John
5
Rashid, Abdul
5
Rosazza Gianin, Emanuela
5
Ríos Insua, David
5
Stoja, Evarist
5
Turvey, Calum Greig
5
Van Vuuren, Gary
5
Yang, Fan
5
Asimit, Alexandru V.
4
Balbás, Beatriz
4
Boubaker, Sabri
4
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Journal of banking & finance
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1
Insurance / Mathematics & economics
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Scandinavian actuarial journal
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ECONIS (ZBW)
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A clustering approach and a rule of thumb for risk aggregation
Di Lascio, F. Marta L.
;
Giammusso, Davide
;
Puccetti, …
- In:
Journal of banking & finance
96
(
2018
),
pp. 236-248
Persistent link: https://www.econbiz.de/10011967212
Saved in:
2
Reduction of Value-at-Risk bounds via independence and variance information
Puccetti, Giovanni
;
Rüschendorf, Ludger
;
Small, Daniel
; …
- In:
Scandinavian actuarial journal
(
2017
)
3
,
pp. 245-266
Persistent link: https://www.econbiz.de/10011772119
Saved in:
3
Reducing model risk via positive and negative dependence assumptions
Bignozzi, Valeria
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 17-26
Persistent link: https://www.econbiz.de/10010515943
Saved in:
4
Model uncertainty and VaR aggregation
Embrechts, Paul
;
Puccetti, Giovanni
;
Rüschendorf, Ludger
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 2750-2764
Persistent link: https://www.econbiz.de/10009776377
Saved in:
5
Bounds for functions of dependent risks
Embrechts, Paul
;
Puccetti, Giovanni
- In:
Finance and stochastics
10
(
2006
)
3
,
pp. 341-352
Persistent link: https://www.econbiz.de/10003380013
Saved in:
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