Measuring portfolio value-at-risk by a Copula-Evt based approach
Year of publication: |
2005
|
---|---|
Authors: | Di Clemente, Annalisa ; Romano, Claudio |
Published in: |
Studi economici : rivista quadrimestrale. - Napoli : Fac., ISSN 0039-2928, ZDB-ID 428979-1. - Vol. 60.2005, 1, p. 29-57
|
Subject: | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory |
-
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob, (2016)
-
Remarks on a copula-based conditional value at risk for the portfolio problem
Molina Barreto, Andres Mauricio, (2023)
-
Dynamic copulas for finance : an application to portfolio risk calculation
Braun, Valentin, (2011)
- More ...
-
Measuring and optimizing portfolio credit risk : a Copula-based approach
Di Clemente, Annalisa, (2004)
-
A copula-extreme value theory approach for modelling operational risk
Di Clemente, Annalisa, (2004)
-
Measuring and Optimizing Portfolio Credit Risk: A Copula-based Approach link rid="fn1">*
Di Clemente, Annalisa, (2004)
- More ...