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Sensitivity analysis of values at risk

Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - 2000

Persistent link: https://www.econbiz.de/10001456589

Sensitivity analysis of values at risk

Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - 2000

Persistent link: https://www.econbiz.de/10001470592

Sensitivity analysis of values at risk

Gouriéroux, Christian; Laurent, Jean-Paul; Scaillet, … - In: Journal of empirical finance 7 (2000) 3/4, pp. 225-245

Persistent link: https://www.econbiz.de/10001557715

Bounds for functions of dependent risks

Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352

Persistent link: https://www.econbiz.de/10003380013

Bounds for Functions of Dependent Risks

Embrechts, Paul - 2014

The problem of finding the best-possible lower bound on the distribution of a non-decreasing function of n dependent risks is solved when n=2 and a lower bound on the copula of the portfolio is provided. The problem gets much more complicated in arbitrary dimensions. When no information on the...

Persistent link: https://www.econbiz.de/10013049566

Nonparametric tests for positive quadrant dependence

Denuit, Michel (contributor); Scaillet, Olivier (contributor) - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001701362

Nonparametric tests for positive quadrant dependence

Denuit, Michel; Scaillet, Olivier - In: Journal of financial econometrics : official journal of … 2 (2004) 3, pp. 422-450

Persistent link: https://www.econbiz.de/10002214466

Nonparametric tests for positive quadrant dependence

Denuit, Michel; Scaillet, Olivier - 2002

Persistent link: https://www.econbiz.de/10001687927