MULTIVARIATE RISKS MODELING FOR FINANCIAL PORTFOLIO MANAGEMENT AND CLIMATE APPLICATIONS

DOI10.17654/MS101040909zbMath1366.91165OpenAlexW2583896189WikidataQ114607588 ScholiaQ114607588MaRDI QIDQ5269582

Vini Yves Bernadin Loyara, Remi Guillaume Bagré, Diakarya Barro

Publication date: 27 June 2017

Published in: Far East Journal of Mathematical Sciences (FJMS) (Search for Journal in Brave)

Full work available at URL: http://www.pphmj.com/abstract/10556.htm

zbMATH Keywords

copulasrisk managementPareto distributionsvalue at riskextreme values distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Characterization and structure theory for multivariate probability distributions; copulas (62H05) Portfolio theory (91G10)

Related Items (4)

SPATIAL CHARACTERIZATION OF STOCHASTIC DEPENDENCE USING COPULAS ⋮ STOCHASTIC INCREASE IN CDS AND CDO PORTFOLIO PREMIUMS ⋮ Estimation of the value at risk using the stochastic approach of Taylor formula ⋮ Unnamed Item

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