Pages that link to "Item:Q654806"
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The following pages link to Asymptotics for risk capital allocations based on conditional tail expectation (Q654806):
Displaying 16 items.
- (Q4986382) (← links)
- On the asymptotics of tail conditional expectation for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails (Q5088093) (← links)
- ASYMPTOTICS FOR SYSTEMIC RISK WITH DEPENDENT HEAVY-TAILED LOSSES (Q5152550) (← links)
- Estimation of multivariate conditional-tail-expectation using Kendall's process (Q5419464) (← links)
- Discussion on “Asymptotic Analysis of Multivariate Tail Conditional Expectations,” by Li Zhu and Haijun Li, Volume 16(3) (Q5742637) (← links)
- Asymptotic Analysis of the Loss Given Default in the Presence of Multivariate Regular Variation (Q5742648) (← links)
- Generalized moments of sums with heavy-tailed random summands (Q6054047) (← links)
- Asymptotic results on tail moment for light-tailed risks (Q6152705) (← links)
- (Q6167149) (← links)
- Asymptotic results on tail moment and tail central moment for dependent risks (Q6198065) (← links)
- Estimation of the adjusted standard-deviatile for extreme risks (Q6536918) (← links)
- Asymptotics of the loss-based tail risk measures in the presence of extreme risks (Q6550185) (← links)
- Asymptotics for credit portfolio losses due to defaults in a multi-sector model (Q6573348) (← links)
- Asymptotics for value at risk and conditional tail expectation of a portfolio loss (Q6579530) (← links)
- On joint marginal expected shortfall and associated contribution risk measures (Q6592290) (← links)
- Asymptotic capital allocation based on the higher moment risk measure (Q6593150) (← links)
