The impact of correlation on (Range) Value-at-Risk
Year of publication: |
2023
|
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Authors: | Bernard, Carole ; De Vecchi, Corrado ; Vanduffel, Steven |
Published in: |
Scandinavian actuarial journal. - Stockholm : Taylor & Francis, ISSN 1651-2030, ZDB-ID 2029609-5. - Vol. 2023.2023, 6, p. 531-564
|
Subject: | Kendall's tau | Pearson correlation | Risk bounds | Spearman's rho | Value-at-Risk | Risikomaß | Risk measure | Korrelation | Correlation | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection |
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