Measuring exposure to dependence risk with random Bernstein copula scenarios

DOI10.1016/j.ejor.2017.10.044zbMath1403.91200OpenAlexW2604891675MaRDI QIDQ723986

Bertrand Tavin

Publication date: 25 July 2018

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2017.10.044

zbMATH Keywords

simulationrisk managementfinancial modelingBernstein copulasrandom matrices,

Mathematics Subject Classification ID

Cites Work

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