Asymptotics for risk capital allocations based on conditional tail expectation (Q654806)
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scientific article; zbMATH DE number 5991242
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Asymptotics for risk capital allocations based on conditional tail expectation |
scientific article; zbMATH DE number 5991242 |
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Asymptotics for risk capital allocations based on conditional tail expectation (English)
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21 December 2011
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asymptotic dependence and independence
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capital allocation
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conditional tail expectation
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extreme value theory
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heavy-tailed distributions
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value-at-risk
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