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ArticleWorst VaR scenarios

Paul Embrechts A2005

Article2005

Worst VaR scenarios

Paul Embrechts A · Andrea Höing · Giovanni Puccetti

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

No readable copy stored yet — this record is metadata only.

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

Abstract

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Citations in this library

Stored only when both papers are in the corpus — 57 citations exist upstream.

References

1999Coherent Measures of Risk 1999An Introduction to Copulas 1997Modelling Extremal Events 1994Modelling of extremal events in insurance and finance 2001Stochastic Processes for Insurance and Finance 1973Random variables, joint distribution functions, and copulas 2002The concept of comonotonicity in actuarial science and finance: theory 1999Stochastic Processes for Insurance and Finance

Cited by

2011An Overview of Comonotonicity and Its Applications in Finance and Insurance 2006Aggregating risk capital, with an application to operational risk 2017Worst-Case Range Value-at-Risk with Partial Information 2009Worst VaR scenarios with given marginals and measures of association 2013Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity

Details

Year2005

Typearticle

Published2005-07-18

VenueInsurance Mathematics and Economics

ISSN-L0167-6687

Languageen

Citations57

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

Identifiers

doi10.1016/j.insmatheco.2005.01.006

openalex_workW2078797709

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