On the isolated impact of copulas on risk measurement : asimulation study
Year of publication: |
November 2016
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Authors: | Berger, Theo |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 58.2016, p. 475-481
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Subject: | Portfolio Value-at-Risk | Copulas | Simulation | Forecasting | Prognoseverfahren | Forecasting model | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | Portfolio-Management | Portfolio selection | Theorie | Theory | Statistische Verteilung | Statistical distribution |
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