On multivariate extensions of the conditional value-at-risk measure
E. Di Bernardino; J. M. Fernández-Ponce; F. Palacios-Rodríguez; M. R. Rodríguez-Griñolo
| Year of publication: |
2015
|
|---|---|
| Authors: | Di Bernardino, Elena ; Fernández-Ponce, J. M. ; Palacios-Rodríguez, F. ; Rodríguez-Griñolo, M. R. |
| Published in: |
Insurance / Mathematics & economics. - Amsterdam : Elsevier, ISSN 0167-6687, ZDB-ID 8864-X. - Vol. 61.2015, p. 1-16
|
| Subject: | Copulas and dependence | Level sets of distribution functions | Multivariate risk measures | Stochastic orders | Value-at-Risk | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Multivariate Analyse | Multivariate analysis | Statistische Verteilung | Statistical distribution | Messung | Measurement | Risikomanagement | Risk management | Wahrscheinlichkeitsrechnung | Probability theory | Portfolio-Management | Portfolio selection | Risiko | 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/10010515946