A new algorithm based on copulas for VaR valuation with empirical calculations
type: Item
instance of: scholarly article
title: A new algorithm based on copulas for VaR valuation with empirical calculations
zbMATH Open document ID: 1121.91044
author: Gang Cheng
author: Ping Li
author: Peng Shi
published in: Theoretical Computer Science
publication date: 2007-06-13T00:00:00Z
Mathematics Subject Classification ID: 91B28
zbMATH DE Number: 5163851
zbMATH Keywords: value-at-risk
zbMATH Keywords: copulas
zbMATH Keywords: Spearman's rho
zbMATH Keywords: Monte Carlo simulation
MaRDI profile type: Publication
full work available at URL: j.tcs.2007.02.038
OpenAlex ID: W2047761468
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DOI: 10.1016/J.TCS.2007.02.038
description: scientific article; zbMATH DE number 5163851