Value-at-risk trade-off and capital allocation with Copulas
Year of publication: |
2001
|
---|---|
Authors: | Cherubini, Umberto ; Luciano, Elisa |
Published in: |
Economic notes : economic review of Banca Monte dei Paschi di Siena. - Oxford : Wiley-Blackwell, ISSN 0391-5026, ZDB-ID 194032-6. - Vol. 30.2001, 2, p. 235-256
|
Subject: | Theorie | Theory | Risikomaß | Risk measure |
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