Pages that link to "Item:Q1774665"
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The following pages link to Multivariate Fréchet copulas and conditional value-at-risk (Q1774665):
Displaying 17 items.
- Pricing \(k\)th realization derivatives and collateralized debt obligation with multivariate Fréchet copula (Q335566) (← links)
- A class of multivariate copulas with bivariate Fréchet marginal copulas (Q659106) (← links)
- On a multivariate gamma distribution (Q951178) (← links)
- Using copulae to bound the value-at-risk for functions of dependent risks (Q1424710) (← links)
- Multifractal value at risk model (Q1619380) (← links)
- Risk tomography (Q1681334) (← links)
- Improved Fréchet-Hoeffding bounds on \(d\)-copulas and applications in model-free finance (Q1704147) (← links)
- Generating unfavourable VaR scenarios under Solvency II with patchwork copulas (Q2063751) (← links)
- Dual volatility and dependence parameters and the copula (Q2270425) (← links)
- Vector-valued multivariate conditional value-at-risk (Q2417154) (← links)
- Multivariate distribution defined with Farlie-Gumbel-Morgenstern copula and mixed Erlang marginals: aggregation and capital allocation (Q2443236) (← links)
- Ruin measures for a compound Poisson risk model with dependence based on the Spearman copula and the exponential claim sizes (Q2514625) (← links)
- Application of Bernstein Copulas to the Pricing of Multi-Asset Derivatives (Q2849536) (← links)
- (Q3534921) (← links)
- A Compendium of Copulas (Q5162881) (← links)
- ON SOME PROPERTIES OF TWO VECTOR-VALUED VAR AND CTE MULTIVARIATE RISK MEASURES FOR ARCHIMEDEAN COPULAS (Q5214826) (← links)
- (Q6154768) (← links)
