Ordering of multivariate risk models with respect to extreme portfolio losses
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Date
2012-03Type
- Journal Article
ETH Bibliography
no
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Publication status
publishedExternal links
Journal / series
Statistics & Risk ModelingVolume
Pages / Article No.
Publisher
R. Oldenbourg VerlagSubject
Stochastic ordering; Portfolio loss; Multivariate regular variation; Spectral measure; Extreme risk indexOrganisational unit
03288 - Embrechts, Paul (emeritus) / Embrechts, Paul (emeritus)
02824 - Pool Gruppe 3 (D-MATH)
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ETH Bibliography
no
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