Model uncertainty and VaR aggregation
Paul Embrechts; Giovanni Puccetti; Ludger Rüschendorf
| Year of publication: |
2013
|
|---|---|
| Authors: | Embrechts, Paul ; Puccetti, Giovanni ; Rüschendorf, Ludger |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 37.2013, 8, p. 2750-2764
|
| Subject: | Copula | Fréchet class | Model uncertainity | Operational Risk | Positive dependence | Rearrangement algorithm | Risk aggregation | Theorie | Theory | Risiko | Risk | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Aggregation | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Operationelles Risiko | Operational risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10009776377