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Statistical distribution
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Scandinavian actuarial journal
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International review of financial analysis
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Journal of financial econometrics
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Astin bulletin : the journal of the International Actuarial Association
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International review of economics & finance : IREF
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Journal of international financial markets, institutions & money
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Journal of risk management in financial institutions
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ECONIS (ZBW)
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1
Time-varying conditional Johnson Su density in Value-at-Risk methodology
Cayton, Peter Julian
;
Mapa, Dennis
- In:
The Philippine review of economics : a joint …
52
(
2015
)
1
,
pp. 23-44
Persistent link: https://www.econbiz.de/10011416114
Saved in:
2
Estimation procedures for exchangeable Marshall copulas with hydrological application
Durante, Fabrizio
;
Okhrin, Ostap
-
2014
. In order to describe such situations,
copula
-based models have been studied during the last year. In this paper, we …
Persistent link: https://www.econbiz.de/10010238359
Saved in:
3
Forecasting extreme financial risk : a score-driven approach
Fuentes, Fernanda
;
Herrera, Rodrigo
;
Clements, Adam
- In:
International journal of forecasting
39
(
2023
)
2
,
pp. 720-735
Persistent link: https://www.econbiz.de/10014465107
Saved in:
4
Risk aggregation with
copula
for banking industry
Yoshiba, Toshinao
-
2015
Persistent link: https://www.econbiz.de/10011375924
Saved in:
5
Nonparametric inference for distortion risk measures on tail regions
Hou, Yanxi
;
Wang, Xing
- In:
Insurance / Mathematics & economics
89
(
2019
),
pp. 92-110
Persistent link: https://www.econbiz.de/10012133516
Saved in:
6
Paths and indices of maximal tail dependence
Furman, Edward
;
Su, Jianxi
;
Zitikis, Ričardas
- In:
Astin bulletin : the journal of the International …
45
(
2015
)
3
,
pp. 661-678
Persistent link: https://www.econbiz.de/10011397592
Saved in:
7
Operational risk modelling in insurance and banking
Vukovic, Ognjen
- In:
Inventi impact: microfinance & banking
(
2016
)
3
,
pp. 172-184
Persistent link: https://www.econbiz.de/10011567927
Saved in:
8
Businesses risks aggregation with
Copula
Kamdem, J. Sadefo
- In:
Journal of quantitative economics : official journal of …
9
(
2011
)
2
,
pp. 58-72
Persistent link: https://www.econbiz.de/10010337911
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9
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:
10
Estimating hedged portfolio value-at-risk using the conditional
copula
: an illustration of model risk
Chen, Yi-Hsuan
;
Tu, Anthony H.
- In:
International review of economics & finance : IREF
27
(
2013
),
pp. 514-528
Persistent link: https://www.econbiz.de/10009740775
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