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Estimation of risk contributions with MCMC
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Estimation of risk contributions with MCMC (2019)Estimation of risk contributions with MCMCValues of Non-Atomic Games (2015)Values of Non-Atomic GamesDependence Modeling with Copulas (2014)Dependence Modeling with Copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions (2009)Multivariate Archimedean copu…The t Copula and Related Copulas (2007)The t Copula and Related Copu…The Copula-GARCH model of conditional dependencies: An international stock market application (2006)The Copula-GARCH model of con…Quantitative Risk Management: Concepts, Techniques, and Tools (2006)Quantitative Risk Management:…Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Quantitative Risk Management:…Importance Sampling for Portfolio Credit Risk (2005)Importance Sampling for Portf…AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION (2005)AN AXIOMATIC APPROACH TO CAPI…Monte Carlo Methods in Financial Engineering (2003)Monte Carlo Methods in Financ…Tail dependence for elliptically contoured distributions (2002)Tail dependence for elliptica…Coherent allocation of risk capital (2001)Coherent allocation of risk c…Capital Allocation for Insurance Companies (2001)Capital Allocation for Insura…Risk contributions and performance measurement (2000)Risk contributions and perfor…An Introduction to Copulas (1999)An Introduction to CopulasCoherent 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)Statistical Inference Procedures for Bivariate Archimedean Copulas (1993)Understanding Relationships Using Copulas (1998)Asymptotics of empirical copula processes under non-restrictive smoothness assumptions (2012)A multivariate copula‐based framework for dealing with hazard scenarios and failure probabilities (2016)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Generalized autoregressive conditional heteroskedasticity (1986)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Multivariate GARCH models: a survey (2006)Global financial crisis, extreme interdependences, and contagion effects: The role of economic structure? (2010)A review of copula models for economic time series (2012)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)Selecting and estimating regular vine copulae and application to financial returns (2012)Copula Methods in Finance (2004)Models for construction of multivariate dependence – a comparison study (2008)Tails of multivariate Archimedean copulas (2009)Multilevel Monte Carlo Path Simulation (2008)Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility? (2013)Simulation Modeling and Analysis (2016)Basel Committee On Banking Supervision (2010)A critical review on supply chain risk – Definition, measure and modeling (2014)Potential, Value, and Consistency (1989)k-order additive discrete fuzzy measures and their representation (1997)Large population stochastic dynamic games: closed-loop McKean-Vlasov systems and the Nash certainty equivalence principle (2006)Introductory Econometrics for Finance (2008)A review and assessment of importance sampling methods for reliability analysis (2022)Forecasting: theory and practice (2022)
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References

  • 1999An Introduction to Copulas7,812 cited
  • 2003Monte Carlo Methods in Financial Engineering3,917 cited
  • 2005Quantitative Risk Management: Concepts, Techniques, and Tools2,208 cited
  • 2006Quantitative Risk Management: Concepts, Techniques, and Tools2,014 cited
  • 2014Dependence Modeling with Copulas1,628 cited
  • 2007The t Copula and Related Copulas974 cited
  • 2006The Copula-GARCH model of conditional dependencies: An international stock market application784 cited
  • 2015Values of Non-Atomic Games742 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions600 cited
  • 2009Multivariate Archimedean copulas, d-monotone functions and ℓ1-norm symmetric distributions512 cited
  • 2001Coherent allocation of risk capital422 cited
  • 2005Importance Sampling for Portfolio Credit Risk322 cited
  • 2005AN AXIOMATIC APPROACH TO CAPITAL ALLOCATION290 cited
  • 2001Capital Allocation for Insurance Companies286 cited
  • 2000Risk contributions and performance measurement260 cited
  • 2002Tail dependence for elliptically contoured distributions

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