Using copulae to bound the Value-at-Risk for functions of dependent risks
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Date
2003-04Type
- Journal Article
ETH Bibliography
yes
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Publication status
publishedExternal links
Journal / series
Finance and StochasticsVolume
Pages / Article No.
Publisher
SpringerSubject
Comonotonicity; Copulae; Dependent risks; Frechet bounds; Orthant dependence; Risk management; Value-at-RiskNotes
Received May 2001, Revised June 2002.More
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ETH Bibliography
yes
Altmetrics