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Measuring portfolio risk under partial dependence information

Recurso electrónico / Electronic resource
Registro MARC
Tag12Valor
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003  MAP
005  20181107170630.0
008  180920e20180903usa|||p |0|||b|eng d
040  ‎$a‎MAP‎$b‎spa‎$d‎MAP
084  ‎$a‎7
100  ‎$0‎MAPA20090034792‎$a‎Bernard, Carole
24510‎$a‎Measuring portfolio risk under partial dependence information‎$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
7001 ‎$0‎MAPA20080096434‎$a‎Denuit, Michel
7001 ‎$0‎MAPA20080650094‎$a‎Vanduffel, Steven
7730 ‎$w‎MAP20077000727‎$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