Ordering of multivariate risk models with respect to extreme portfolio losses
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Date
2012-03Type
- Journal Article
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Publication status
publishedJournal / series
Statistics & risk modellingVolume
Pages
Publisher
R. Oldenbourg VerlagSubject
Stochastic ordering; Portfolio loss; Multivariate regular variation; Spectral measure; Extreme risk indexOrganisational unit
03288 - Embrechts, Paul02824 - Pool Gruppe 3 (D-MATH)
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