A directional multivariate value at risk
Year of publication: |
2015
|
---|---|
Authors: | Torres, Raúl ; Lillo, Rosa E. ; Laniado, Henry |
Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 65.2015, p. 111-123
|
Subject: | Multivariate risks | Value at risk | Directional approach | Multivariate quantile | Copula | Risikomaß | Risk measure | Multivariate Analyse | Multivariate analysis | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Risiko | Risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection |
-
Global risk evolution and diversification : a Copula-DCC-GARCH model approach
Righi, Marcelo Brutti, (2012)
-
Jensen, Sören, (2012)
-
Hürlimann, Werner, (2014)
- More ...
-
A Directional Multivariate Value at Risk
Torres, Raúl, (2015)
-
Portfolio selection through an extremality stochastic order
Laniado, Henry, (2012)
-
Portfolio selection through and extremality stochastic order
Laniado, Henry, (2012)
- More ...