Measurement of bivariate risks by the north-south quantile points approach
From MaRDI portal
Publication:2252700
DOI10.1016/j.cam.2013.04.050zbMath1291.91117OpenAlexW2084716587MaRDI QIDQ2252700
Omer L. Gebizlioglu, Emel Kizilok Kara
Publication date: 23 July 2014
Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.cam.2013.04.050
Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)
Related Items (1)
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Improving the value at risk forecasts: theory and evidence from the financial crisis
- From the Huang-Kotz FGM distribution to Baker's bivariate distribution
- Measures of risk
- An introduction to copulas.
- A new algorithm based on copulas for VaR valuation with empirical calculations
- Tolerance intervals for quantiles of bivariate risks and risk measurement
- The effects of misspecified marginals and copulas on computing the value at risk: a Monte Carlo study
- Quantile curves and dependence structure for bivariate distributions
- An introduction to copulas. Properties and applications
- Distribution functions of multivariate copulas.
- Using copulae to bound the value-at-risk for functions of dependent risks
- Distribution-function-based bivariate quantiles.
- Stochastic bounds on sums of dependent risks
- Measuring the coupled risks: A copula-based CVaR model
- Determination of dependency parameter in joint distribution of dependent risks by fuzzy approach
- On the compound Poisson risk model with dependence based on a generalized Farlie-Gumbel-Morgenstern copula
- Coherent Measures of Risk
- Risk Measures and Comonotonicity: A Review
This page was built for publication: Measurement of bivariate risks by the north-south quantile points approach
