Measuring portfolio risk under partial dependence information
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| Tag | 1 | 2 | Value |
|---|---|---|---|
| LDR | 00000cab a2200000 4500 | ||
| 001 | MAP20180027314 | ||
| 003 | MAP | ||
| 005 | 20181107170630.0 | ||
| 008 | 180920e20180903usa|||p |0|||b|eng d | ||
| 040 | $aMAP$bspa$dMAP | ||
| 084 | $a7 | ||
| 100 | $0MAPA20090034792$aBernard, Carole | ||
| 245 | 1 | 0 | $aMeasuring portfolio risk under partial dependence information$cCarole Bernard, Michel Denuit, Steven Vanduffel |
| 520 | $aIn this article, we assess model risk on aggregation. If the marginal distributions of the risky components are known but their interdependence is not, it is possible to identify models that give rise to the maximum and minimum possible values for VaR | ||
| 650 | 4 | $0MAPA20080591182$aGerencia de riesgos | |
| 650 | 4 | $0MAPA20080606718$aInformación financiera | |
| 650 | 4 | $0MAPA20080564254$aSolvencia II | |
| 650 | 4 | $0MAPA20080590567$aEmpresas de seguros | |
| 700 | 1 | $0MAPA20080096434$aDenuit, Michel | |
| 700 | 1 | $0MAPA20080650094$aVanduffel, Steven | |
| 773 | 0 | $wMAP20077000727$tThe Journal of risk and insurance$dNueva York : The American Risk and Insurance Association, 1964-$x0022-4367$g03/09/2018 Volumen 85 Número 3 - septiembre 2018 , p. 843-867 |