Estimation of risk contributions with MCMC (Q5234382)
From MaRDI portal
scientific article; zbMATH DE number 7110500
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimation of risk contributions with MCMC |
scientific article; zbMATH DE number 7110500 |
Statements
Estimation of risk contributions with MCMC (English)
0 references
26 September 2019
0 references
value-at-risk
0 references
risk allocation
0 references
risk contributions
0 references
VaR contributions
0 references
copulas
0 references
Markov chain Monte Carlo
0 references
Metropolis-Hastings algorithm
0 references
0 references
