Measuring exposure to dependence risk with random Bernstein copula scenarios
Year of publication: |
1 November 2018
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Authors: | Tavin, Bertrand |
Published in: |
European journal of operational research : EJOR. - Amsterdam : Elsevier, ISSN 0377-2217, ZDB-ID 243003-4. - Vol. 270.2018, 3 (1.11.), p. 873-888
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Subject: | Risk management | Financial modeling | Simulation | Bernstein copulas | Random matrices | Theorie | Theory | Risikomanagement | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection |
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