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  • Search: subject:"Rearrangement algorithm"
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Year of publication
Subject
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Risikomaß 6 Risk measure 6 Rearrangement algorithm 5 Risikomanagement 5 Risk management 5 rearrangement algorithm 5 Statistical distribution 4 Statistische Verteilung 4 Theorie 4 Theory 4 Multivariate Verteilung 3 Multivariate distribution 3 Risiko 3 Risk 3 Risk aggregation 3 value-at-risk 3 Algorithm 2 Algorithmus 2 Analysis of variance 2 Copula 2 Credit risk 2 Fréchet class 2 Kreditrisiko 2 Model uncertainity 2 Modellierung 2 Operational Risk 2 Portfolio selection 2 Portfolio-Management 2 Positive dependence 2 R 2 Scientific modelling 2 Varianzanalyse 2 bootstrap 2 computational risk management 2 copulas 2 crop insurance 2 dependence 2 implementation 2 worst value-at-risk allocation 2 Adaptive Rearrangement Algorithm 1
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Online availability
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Undetermined 7 Free 4 CC license 1
Type of publication
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Article 12
Type of publication (narrower categories)
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Article in journal 7 Aufsatz in Zeitschrift 7 Article 2 research-article 1
Language
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English 10 Undetermined 2
Author
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Bernard, Carole 3 Hofert, Marius 3 Puccetti, Giovanni 3 Rüschendorf, Ludger 3 Vanduffel, Steven 3 Embrechts, Paul 2 Goodwin, Barry K. 2 Ramsey, A. Ford 2 Bondarenko, Oleg 1 Lux, Thibaut 1 Memartoluie, Amir 1 Papapantoleon, Antonis 1 Saunders, David 1 Wirjanto, Tony 1 Yao, Jing 1
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Published in...
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Journal of banking & finance 2 Insurance 1 Journal of Banking & Finance 1 Journal of Risk and Financial Management 1 Journal of risk and financial management : JRFM 1 Review of derivatives research 1 Risks 1 Risks : open access journal 1 Statistics & Probability Letters 1 Statistics & Risk Modeling 1 The European journal of finance 1
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Source
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ECONIS (ZBW) 7 EconStor 2 RePEc 2 Other ZBW resources 1
Showing 11 - 12 of 12
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Model uncertainty and VaR aggregation
Embrechts, Paul; Puccetti, Giovanni; Rüschendorf, Ludger - In: Journal of Banking & Finance 37 (2013) 8, pp. 2750-2764
Despite well-known shortcomings as a risk measure, Value-at-Risk (VaR) is still the industry and regulatory standard for the calculation of risk capital in banking and insurance. This paper is concerned with the numerical estimation of the VaR for a portfolio position as a function of different...
Persistent link: https://www.econbiz.de/10011065725
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Cover Image
Sharp bounds on the expected shortfall for a sum of dependent random variables
Puccetti, Giovanni - In: Statistics & Probability Letters 83 (2013) 4, pp. 1227-1232
Using a connection between the rearrangement algorithm introduced in Puccetti and Rüschendorf (2012) and convex order …
Persistent link: https://www.econbiz.de/10011039826
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