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Measuring the coupled risks: A copula-based CVaR model - MaRDI portal

Measuring the coupled risks: A copula-based CVaR model (Q2378280)

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Measuring the coupled risks: A copula-based CVaR model
scientific article

    Statements

    title
    Measuring the coupled risks: A copula-based CVaR model (English)
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    author
    Xubiao He
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    Pu Gong
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    publication date
    7 January 2009
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    zbMATH Keywords
    coupled risks
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    conditional value-at-risk
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    copula
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    numerical simulation
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    chinese security market
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    Identifiers

    Mathematics Subject Classification ID
    91B30
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    62H10
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    62H12
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    91B28
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    zbMATH DE Number
    5486408
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    OpenAlex ID
    W2047087909
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