TVaR-based capital allocation with copulas (Q659153)
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scientific article; zbMATH DE number 6004652
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | TVaR-based capital allocation with copulas |
scientific article; zbMATH DE number 6004652 |
Statements
TVaR-based capital allocation with copulas (English)
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10 February 2012
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capital allocation
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tail value at risk
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dependence models
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copulas
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discretization methods
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