The impact of correlation on (Range) Value-at-Risk (Q6114644)
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scientific article; zbMATH DE number 7710962
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The impact of correlation on (Range) Value-at-Risk |
scientific article; zbMATH DE number 7710962 |
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The impact of correlation on (Range) Value-at-Risk (English)
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12 July 2023
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risk bounds
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value-at-risk
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Pearson correlation
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Spearman's rho
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Kendall's tau
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