On multivariate extensions of Value-at-Risk.

Areski Cousin Elena Di Bernardino

Published in: J. Multivar. Anal. (2013)

Keyphrases

regression model
risk management
dependence structure
risk assessment
high risk
mixed data
risk measures
decision making
efficient implementation
neural network
risk factors
default theories
minimum risk
real world
knowledge base
risk averse
portfolio optimization
video sequences
multi agent
decision trees
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