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ArticleExtreme VaR scenarios in higher dimensions

Paul Embrechts A2007

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Articlegreen2007

Extreme VaR scenarios in higher dimensions

Paul Embrechts A · Andrea Höing

16 citations·0/0 files stored·Extremes

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

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References

1999An Introduction to Copulas 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2006Quantitative Risk Management: Concepts, Techniques, and Tools 2002Correlation and Dependence in Risk Management: Properties and Pitfalls 2005Actuarial Theory for Dependent Risks 2005Actuarial Theory for Dependent Risks: Measures, Orders and Models 2003Using copulae to bound the Value-at-Risk for functions of dependent risks 2004The Modelling of Operational Risk: Experience with the Analysis of the Data Collected by the Basel Committee

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2012A review of copula models for economic time series 2009Copula–Based Models for Financial Time Series 2013Copula Methods for Forecasting Multivariate Time Series

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2013Model uncertainty and VaR aggregationarticle · 7 shared references 2006Aggregating risk capital, with an application to operational riskarticle · 7 shared references 2012A review of copula models for economic time seriesarticle · 6 shared references 2009Worst VaR scenarios with given marginals and measures of associationarticle · 6 shared references 2009Bounds for the sum of dependent risks having overlapping marginalsarticle · 6 shared references 2009Copula–Based Models for Financial Time Serieschapter · 5 shared references

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Year2007

Typearticle

Published2007-02-22

VenueExtremes

ISSN-L1386-1999

Languageen

Citations16

Files0 public / 0

ShelfFinancial Risk and Volatility Modeling

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doi10.1007/s10687-006-0027-6

openalex_workW2091178255

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