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ArticleMeasuring the coupled risks: A copula-based CVaR model

Xubiao He2008

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Articlebronze2008

Measuring the coupled risks: A copula-based CVaR model

Xubiao He · Pu Gong

37 citations·0/0 files stored·Journal of Computational and Applied Mathematics

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Financial Risk and Volatility Modeling Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1986Generalized autoregressive conditional heteroskedasticity 1982Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation 1974ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES*2000Optimization of conditional value-at-risk 2002Conditional value-at-risk for general loss distributions 2001Extreme Correlation of International Equity Markets 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2002Asymmetric correlations of equity portfolios

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Year2008

Typearticle

Published2008-04-12

VenueJournal of Computational and Applied Mathematics

ISSN-L0377-0427

Languageen

Citations37

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1016/j.cam.2008.03.046

openalex_workW2047087909

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