Model uncertainty and VaR aggregation
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 | Risiko | Risk | Theorie | Theory | Multivariate Verteilung | Multivariate distribution | Risikomaß | Risk measure | Operationelles Risiko | Operational risk | Aggregation | Risikomanagement | Risk management | Statistische Verteilung | Statistical distribution | Algorithmus | Algorithm | Modellierung | Scientific modelling |
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