Using copulae to bound the Value-at-Risk for functions of dependent risks
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Author / Producer
Date
2003-04
Publication Type
Journal Article
ETH Bibliography
yes
Citations
Altmetric
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Rights / License
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Publication status
published
External links
Editor
Book title
Journal / series
Volume
7 (2)
Pages / Article No.
145 - 167
Publisher
Springer
Event
Edition / version
Methods
Software
Geographic location
Date collected
Date created
Subject
Comonotonicity; Copulae; Dependent risks; Frechet bounds; Orthant dependence; Risk management; Value-at-Risk
Organisational unit
Notes
Received May 2001, Revised June 2002.