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Using copulae to bound the Value-at-Risk for functions of dependent risks.

Paul EmbrechtsAndrea HöingAlessandro Juri
Published in: Finance Stochastics (2003)
Keyphrases
  • risk management
  • risk assessment
  • risk factors
  • risk analysis
  • decision making
  • lower bound
  • upper bound
  • high risk
  • basis functions
  • decision support system
  • error bounds
  • risk evaluation
  • multi class
  • linear functions