Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds (Q2956062)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds |
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Dependence Uncertainty for Aggregate Risk: Examples and Simple Bounds (English)
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16 January 2017
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value-at-risk
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expected shortfall
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risk aggregation
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dependence uncertainty
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inhomogeneous portfolio
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rearrangement algorithm
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numerical examples
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