The following pages link to QRM (Q23304):
Displaying 50 items.
- Beyond simplified pair-copula constructions (Q443776) (← links)
- Likelihood inference for Archimedean copulas in high dimensions under known margins (Q443788) (← links)
- Gaussian approximation of conditional elliptical copulas (Q444996) (← links)
- On the independence between risk profiles in the compound collective risk actuarial model (Q449658) (← links)
- An alternative multivariate skew Laplace distribution: properties and estimation (Q451461) (← links)
- Efficiently sampling nested Archimedean copulas (Q452526) (← links)
- The AEP algorithm for the fast computation of the distribution of the sum of dependent random variables (Q453289) (← links)
- Asymptotic properties of pseudo maximum likelihood estimators and test in semi-parametric copula models with multiple change points (Q461823) (← links)
- On tests of radial symmetry for bivariate copulas (Q465637) (← links)
- Portfolio value-at-risk estimation in energy futures markets with time-varying copula-GARCH model (Q475247) (← links)
- Does value-at-risk encourage diversification when losses follow tempered stable or more general Lévy processes? (Q481380) (← links)
- Editorial: Special issue on extremes in finance (Q482068) (← links)
- Portfolio risk assessment using multivariate extreme value methods (Q482071) (← links)
- The effect of aggregation on extremes from asymptotically independent light-tailed risks (Q482077) (← links)
- Using B-splines for nonparametric inference on bivariate extreme-value copulas (Q482081) (← links)
- Bounds on total economic capital: the DNB case study (Q482086) (← links)
- Empirical investigation of insurance claim dependencies using mixture models (Q487617) (← links)
- Randomly weighted sums of subexponential random variables with application to capital allocation (Q488110) (← links)
- Value-at-Risk model for hazardous material transportation (Q490229) (← links)
- Current open questions in complete mixability (Q491375) (← links)
- Kusuoka representations of coherent risk measures in general probability spaces (Q492837) (← links)
- Trade-off between robust risk measurement and market principles (Q493244) (← links)
- A class of multivariate copulas based on products of bivariate copulas (Q495386) (← links)
- Interval estimation for a measure of tail dependence (Q495494) (← links)
- Kac's representation for empirical copula process from an asymptotic viewpoint (Q511559) (← links)
- Multivariate dependence modeling based on comonotonic factors (Q512029) (← links)
- Deriving advantage over a crisis by incorporating a new class of stochastic models for risk control operations (Q513132) (← links)
- On conditional value at risk (CoVaR) for tail-dependent copulas (Q515554) (← links)
- Multiobjective optimization of credit capital allocation in financial institutions (Q519000) (← links)
- Some applications of the strong approximation of the integrated empirical copula processes (Q523726) (← links)
- Local Gaussian correlation: a new measure of dependence (Q528115) (← links)
- Copulas, diagonals, and tail dependence (Q529109) (← links)
- Modeling dependence based on mixture copulas and its application in risk management (Q603180) (← links)
- On testing equality of pairwise rank correlations in a multivariate random vector (Q604373) (← links)
- Multivariate hierarchical copulas with shocks (Q607608) (← links)
- High-dimensionality effects in the Markowitz problem and other quadratic programs with linear constraints: risk underestimation (Q620558) (← links)
- Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (Q626283) (← links)
- Extreme value properties of multivariate \(t\) copulas (Q626284) (← links)
- Optimality of general reinsurance contracts under CTE risk measure (Q634001) (← links)
- Value at risk and efficiency under dependence and heavy-tailedness: models with common shocks (Q635960) (← links)
- A goodness-of-fit test for bivariate extreme-value copulas (Q637100) (← links)
- Moment matrices in conditional heteroskedastic models under elliptical distributions with applications in AR-ARCH models (Q641782) (← links)
- Comparing point and interval estimates in the bivariate \(t\)-copula model with application to financial data (Q641791) (← links)
- Optimal stopping with dynamic variational preferences (Q643275) (← links)
- Recovery rates in investment-grade pools of credit assets: a large deviations analysis (Q645601) (← links)
- Practices and issues in operational risk modeling under Basel II (Q647154) (← links)
- Asymptotics of joint maxima for discontinuous random variables (Q650682) (← links)
- Extremal dependence analysis of network sessions (Q650747) (← links)
- Detecting a conditional extreme value model (Q650748) (← links)
- Pricing credit derivatives under incomplete information: a nonlinear-filtering approach (Q650766) (← links)
