scientific article; zbMATH DE number 7049461

zbMath1424.91109MaRDI QIDQ4632758

Diakarya Barro, Vini Yves Bernadin Loyara

Publication date: 30 April 2019

Full work available at URL: https://www.ejpam.com/index.php/ejpam/article/view/3347

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zbMATH Keywords

copulasscalar productVaREuclidian spacegeometric yield

Mathematics Subject Classification ID

Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (3)

STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS ⋮ Modeling the dependence of losses of a financial portfolio using nested Archimedean copulas ⋮ Estimation of the value at risk using the stochastic approach of Taylor formula

Cites Work

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• On multivariate extensions of conditional-tail-expectation
• A scalar product for copulas
• Tails of multivariate Archimedean copulas
• An introduction to copulas. Properties and applications
• Coherent Measures of Risk
• Statistics of Extremes
• MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS

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