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Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness · Study

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ArticleAdditivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

Paul Embrechts A2008

Article2008

Additivity properties for Value-at-Risk under Archimedean dependence and heavy-tailedness

Paul Embrechts A · Johanna Nešlehová · Mario V. Wüthrich

93 citations·0/0 files stored·Insurance Mathematics and Economics

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Probability and Risk Models Financial Risk and Volatility Modeling Risk and Portfolio Optimization

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 93 citations exist upstream.

References

1999Coherent Measures of Risk 1999An Introduction to Copulas 1994Modelling of extremal events in insurance and finance 1987Extreme Values, Regular Variation and Point Processes 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2000Extreme Value Distributions: Theory and Applications 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions

Cited by

2013What is the Best Risk Measure in Practice? A Comparison of Standard Measures 2010On optimal portfolio diversification with respect to extreme risks 2010Tail Risk of Multivariate Regular Variation 2012Asymptotic Analysis of Multivariate Tail Conditional Expectations 2012Risk Measures and Multivariate Extensions of Breiman's Theorem 2010Dependence structure of risk factors and diversification effects 2009Implementing loss distribution approach for operational risk

Details

Year2008

Typearticle

Published2008-08-13

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations93

Files0 public / 0

ShelfProbability and Risk Models

Identifiers

doi10.1016/j.insmatheco.2008.08.001

openalex_workW1987690364

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