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Multivariate Verteilung 1 Multivariate distribution 1 Risikomaß 1 Risk measure 1 Theorie 1 Theory 1
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Giacomini, Enzo 1 Härdle, Wolfgang 1
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SFB 649 Discussion Paper 2005-004 1
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Value-at-Risk Calculations with Time Varying Copulae
Giacomini, Enzo - 2017
Value-at-Risk (VaR) of a portfolio is determined by the multivariate distribution of the risk factors increments. This distribution can be modelled through copulae, where the copulae parameters are not necessarily constant over time. For an exchange rate portfolio, copulae with time varying...
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