On the asymptotics of value-at-risk for portfolio loss under bivariate Eyraud-Farlie-Gumbel-Morgenstern copula and heavy tails
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Publication:5088126
DOI10.1080/03610918.2018.1520873OpenAlexW2898198579MaRDI QIDQ5088126
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Publication date: 4 July 2022
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/03610918.2018.1520873
value-at-riskdiversificationpower-lawportfolio lossbivariate Eyraud-Farlie-Gumbel-Morgenstern copula
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- Extreme value behavior of aggregate dependent risks
- Coherent Measures of Risk
- Proper Conditioning for Coherent VaR in Portfolio Management
- Institutional Investors and Stock Market Volatility
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