Narrow search
Showing 851 - 860 of 735,602
Cover Image
On multivariate extensions of Conditional-Tail-Expectation
Cousin, Areski; Di Bernardino, Elena - In: Insurance / Mathematics & economics 55 (2014), pp. 272-282
Persistent link: https://www.econbiz.de/10010366166
Cover Image
Copula-based multivariate time series models
Mihaylova, Iva - 2014
Persistent link: https://www.econbiz.de/10010366312
Cover Image
The large homogeneous portfolio approximation with a two-factor Gaussian copula and random recovery rate
Choe, Geon Ho; Kwon, Soon Won - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 137-158
Persistent link: https://www.econbiz.de/10010426459
Cover Image
Modeling dependence structure and forecasting portfolio value-at-risk with dynamic copulas
Cerrato, Mario; Crosby, John; Kim, Minjoo; Zhao, Yang - 2014
Persistent link: https://www.econbiz.de/10010430003
Cover Image
On the multidimensional extension of countermonotonicity and its applications
Lee, Woojoo; Ahn, Jae Youn - In: Insurance / Mathematics & economics 56 (2014), pp. 68-79
Persistent link: https://www.econbiz.de/10010385029
Cover Image
Multivariate VaRs for operational risk capital computation : a vine structure approach
Guégan, Dominique; Hassani, Bertrand K. - In: International journal of risk assessment and management … 17 (2013) 2, pp. 148-170
Persistent link: https://www.econbiz.de/10010385914
Cover Image
On some properties of two vector-valued VAR and CTE multivariate risk measures for Archimedean copulas
Hürlimann, Werner - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 613-633
Persistent link: https://www.econbiz.de/10010407943
Cover Image
Risk measurement and risk modelling using applications of vine copulas
Allen, David E.; McAleer, Michael; Singh, Abhay Kumar - 2014
Persistent link: https://www.econbiz.de/10010410215
Cover Image
Forecasting liquidity-adjusted intraday Value-at-Risk with vine copulas
Weiß, Gregor; Supper, Hendrik - In: Journal of banking & finance 37 (2013) 9, pp. 3334-3350
Persistent link: https://www.econbiz.de/10010126429
Cover Image
Vectors of two-parameter Poisson-Dirichlet processes
Leisen, Fabrizio; Lijoi, Antonio - 2010
dependence is achieved by applying a L´evy copula to the marginal intensities. In a two-sample problem, we determine the …
Persistent link: https://www.econbiz.de/10010343891