Measuring portfolio risk under partial dependence information

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Coleção: Artigos
Título: Measuring portfolio risk under partial dependence information / Carole Bernard, Michel Denuit, Steven Vanduffel
Autor: Bernard, Carole
Notas: Sumario: In 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
Registros relacionados: En: The Journal of risk and insurance. - Nueva York : The American Risk and Insurance Association, 1964- = ISSN 0022-4367. - 03/09/2018 Volumen 85 Número 3 - septiembre 2018 , p. 843-867
Materia / lugar / evento: Gerencia de riesgos Información financiera Solvencia II Empresas de seguros
Autores secundários: Denuit, Michel
Vanduffel, Steven
Outras classificações: 7
Direitos: In Copyright (InC): http://rightsstatements.org/vocab/InC/1.0/
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