Galeotti, Marcello - Dipartimento di Scienze per l'Economia e l'Impresa, … - 2014
The original motivation of this work comes from a classic problem in finance and insurance: that of computing the value-at-risk (VaR) of a portfolio of dependent risky positions, i.e. the quantile at a certain level of confidence of the loss distribution. In fact, it is difficult to overestimate...