Risk capital decomposition for a multivariate dependent gamma portfolio (Q817298)
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scientific article; zbMATH DE number 5009873
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Risk capital decomposition for a multivariate dependent gamma portfolio |
scientific article; zbMATH DE number 5009873 |
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Risk capital decomposition for a multivariate dependent gamma portfolio (English)
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8 March 2006
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tail conditional expectation
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multivariate gamma distribution
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