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Value-at-Risk
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Palacios-Rodríguez, F.
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Di Bernardino, E.
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On multivariate extensions of the conditional value-at-risk measure
Di Bernardino, Elena
;
Fernández-Ponce, J. M.
; …
- In:
Insurance / Mathematics & economics
61
(
2015
),
pp. 1-16
Persistent link: https://www.econbiz.de/10010515946
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2
On multivariate extensions of the conditional Value-at-Risk measure
Di Bernardino, E.
;
Fernández-Ponce, J.M.
; …
- In:
Insurance: Mathematics and Economics
61
(
2015
)
C
,
pp. 1-16
. The two proposed multivariate CoVaRs are constructed from
level
sets
of multivariate distribution functions (resp. of …
Persistent link: https://www.econbiz.de/10011263838
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