SZodixStudyAcademic Library
ShelvesOpen access
Study · an open academic library·Metadata from OpenAlex (CC0)·Shelves·OpenAlex metadata, de-duplicated
Bounds for the sum of dependent risks having overlapping marginals
16 references·3 citing·33 second hop
Bounds for the sum of dependent risks having overlapping marginals (2009)Bounds for the sum of dependent risks hav…Copulas: A Personal View (2009)Copulas: A Personal ViewThe Subprime Credit Crisis of 07 (2008)The Subprime Credit Crisis of…Multivariate extremes and the aggregation of dependent risks: examples and counter-examples (2008)Multivariate extremes and the…Infinite-mean models and the LDA for operational risk (2006)Infinite-mean models and the …Copulas: Tales and facts (2006)Copulas: Tales and factsBounds for Functions of Dependent Risks (2006)Bounds for Functions of Depen…An Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…Aggregating risk capital, with an application to operational risk (2006)Aggregating risk capital, wit…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Bounds for functions of multivariate risks (2005)Bounds for functions of multi…Using copulae to bound the Value-at-Risk for functions of dependent risks (2003)Using copulae to bound the Va…The concept of comonotonicity in actuarial science and finance: theory (2002)The concept of comonotonicity…Stochastic bounds on sums of dependent risks (1999)Stochastic bounds on sums of …An Introduction to Copulas (1999)An Introduction to CopulasMultivariate Models and Dependence Concepts (1998)Multivariate Models and Depen…Mass Transportation Problems (1998)Mass Transportation ProblemsVaR Bounds for Joint Portfolios with Dependence Constraints (2016)VaR Bounds for Joint Portfoli…Simple risk measure calculations for sums of positive random variables (2013)Simple risk measure calculati…Model uncertainty and VaR aggregation (2013)Model uncertainty and VaR agg…Coherent Measures of Risk (1999)Correlation and Dependence in Risk Management: Properties and Pitfalls (2002)Pair-copula constructions of multiple dependence (2007)Quantitative Risk Management (2011)Multivariate Archimax copulas (2014)Modelling Extremal Events (1997)Copula–Based Models for Financial Time Series (2009)Modelling Nonlinear Economic Time Series (2010)Statistical Modeling of Spatial Extremes (2012)Numerical solution of stochastic differential equations (2016)Modelling of extremal events in insurance and finance (1994)Modelling Dependence with Copulas and Applications to Risk Management (2003)On the Out-of-Sample Importance of Skewness and Asymmetric Dependence for Asset Allocation (2004)Data-driven robust optimization (2017)The value of an Asian option (1995)The concept of comonotonicity in actuarial science and finance: applications (2002)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)Constructing Uncertainty Sets for Robust Linear Optimization (2009)Copula Theory: An Introduction (2010)Extreme-Value Copulas (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)Factor copula models for multivariate data (2013)Probit transformation for nonparametric kernel estimation of the copula density (2017)Multivariate GARCH models: a survey (2006)Introductory Econometrics for Finance (2008)An Academic Response to Basel 3.5 (2014)Aggregation-robustness and model uncertainty of regulatory risk measures (2015)What is the best risk measure in practice? A comparison of standard measures (2015)Dependence structures for multivariate high-frequency data in finance (2003)Goodness-of-fit tests for copulas: A review and a power study (2007)Scenario Reduction Algorithms in Stochastic Programming (2003)Scenario tree modeling for multistage stochastic programs (2007)The Master Equation and the Convergence Problem in Mean Field Games (2019)
this work references cited by second hop

References

  • 1999An Introduction to Copulas7,812 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2006An Introduction to Copulas (Springer Series in Statistics)882 cited
  • 2002The concept of comonotonicity in actuarial science and finance: theory634 cited
  • 1998Mass Transportation Problems575 cited
  • 1998Multivariate Models and Dependence Concepts360 cited
  • 2003Using copulae to bound the Value-at-Risk for functions of dependent risks278 cited
  • 2006Copulas: Tales and facts242 cited
  • 2009Copulas: A Personal View204 cited
  • 2006Infinite-mean models and the LDA for operational risk195 cited
  • 2006Bounds for Functions of Dependent Risks146 cited
  • 2008Multivariate extremes and the aggregation of dependent risks: examples and counter-examples137 cited
  • 1999Stochastic bounds on sums of dependent risks137 cited
  • 2005Bounds for functions of multivariate risks116 cited
  • 2008The Subprime Credit Crisis of 0797 cited
  • 2006Aggregating risk capital, with an application to operational risk65 cited

Only edges whose both ends are imported exist here. Widen the year window, or show the whole map. Back to the work

Cited by

  • 2013Model uncertainty and VaR aggregation295 cited
  • 2016VaR Bounds for Joint Portfolios with Dependence Constraints30 cited
  • 2013Simple risk measure calculations for sums of positive random variables27 cited