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Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence
13 references·0 citing·38 second hop
Bounds on Capital Requirements For Bivariate Risk with Given Marginals and Partial Information on the Dependence (2013)Bounds on Capital Requirements For Bivari…Risk aggregation with dependence uncertainty (2013)Risk aggregation with depende…Model uncertainty and VaR aggregation (2013)Model uncertainty and VaR agg…Explicit Representation of Cost-Efficient Strategies (2012)Explicit Representation of Co…Detecting regime switches in the dependence structure of high dimensional financial data (2012)Detecting regime switches in …Simulating Copulas (2011)Simulating CopulasImproved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options (2011)Improved Fréchet Bounds and M…A New Characterization of Bivariate Copulas (2010)A New Characterization of Biv…PORTFOLIO MANAGEMENT WITH CONSTRAINTS (2007)PORTFOLIO MANAGEMENT WITH CON…An Introduction to Copulas (2006)An Introduction to CopulasAn Introduction to Copulas (Springer Series in Statistics) (2006)An Introduction to Copulas (S…Best-possible bounds on sets of bivariate distribution functions (2003)Best-possible bounds on sets …A New Proof of Sklar’s Theorem (2002)A New Proof of Sklar’s TheoremA Characterization of Quasi-copulas (1999)A Characterization of Quasi-c…An Introduction to Copulas (1999)Measures of concordance determined by D4‐invariant copulas (2004)Sklar’s theorem obtained via regularization techniques (2011)Multivariate patchwork copulas: A unified approach with applications to partial comonotonicity (2013)Optimum consumption and portfolio rules in a continuous-time model (1971)An equilibrium characterization of the term structure (1977)Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)A dynamic programming approach to constrained portfolios (2013)Explicit Representation of Cost-Efficient Strategies (2014)Optimal investment under VaR-Regulation and Minimum Insurance (2018)Coherent Measures of Risk (1999)Quantitative Risk Management: Concepts, Techniques, and Tools (2005)Basel Committee On Banking Supervision (2010)Extremal Dependence Concepts (2015)Value‐at‐Risk Bounds With Variance Constraints (2015)Characterization, Robustness and Aggregation of Signed Choquet Integrals (2018)Modelling of extremal events in insurance and finance (1994)Modelling Extremal Events (1997)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)Dependency of Risks and Stop-Loss Order (1996)Improved Fréchet–Hoeffding bounds on $d$-copulas and applications in model-free finance (2017)Copula Theory: An Introduction (2010)Extreme-Value Copulas (2010)A review of quantification methodologies for multi-hazard interrelationships (2019)Transitivity frameworks for reciprocal relations: cycle-transitivity versus -transitivity (2004)Copula–Based Models for Financial Time Series (2009)Trends in Multiple Criteria Decision Analysis (2010)Actuarial Theory for Dependent Risks: Measures, Orders and Models (2005)COPULAS WITH GIVEN DIAGONAL SECTIONS: NOVEL CONSTRUCTIONS AND APPLICATIONS (2007)Copulas in Econometrics (2014)Selection, Agriculture, and Cross-Country Productivity Differences (2013)Competition, Markups, and the Gains from International Trade (2015)Time-Varying Systemic Risk: Evidence From a Dynamic Copula Model of CDS Spreads (2016)Derivatives and Fisher information of bivariate copulas (2013)Flexible dependence modeling of operational risk losses and its impact on total capital requirements (2013)Regime Switching Vine Copula Models for Global Equity and Volatility Indices (2017)
this work references cited by second hop

References

  • 2006An Introduction to Copulas1,470 cited
  • 2006An Introduction to Copulas (Springer Series in Statistics)882 cited
  • 2013Model uncertainty and VaR aggregation295 cited
  • 1999A Characterization of Quasi-copulas204 cited
  • 2013Risk aggregation with dependence uncertainty133 cited
  • 2003Best-possible bounds on sets of bivariate distribution functions96 cited
  • 2011Simulating Copulas95 cited
  • 2007PORTFOLIO MANAGEMENT WITH CONSTRAINTS65 cited
  • 2011Improved Fréchet Bounds and Model-Free Pricing of Multi-Asset Options64 cited
  • 2002A New Proof of Sklar’s Theorem39 cited
  • 2010A New Characterization of Bivariate Copulas34 cited
  • 2012Explicit Representation of Cost-Efficient Strategies29 cited
  • 2012Detecting regime switches in the dependence structure of high dimensional financial data21 cited

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