Analysing systemic risk contribution using a closed formula for conditional value at risk through copula

Typ

Beitrag Zeitschrift von Prof. Dr. Manfred-Erich Jäger-Ambrozewicz

Zitation

Hakwa, Brice; Jäger-Ambrozewicz, Manfred-Erich; Rüdiger, Barbara: Analysing systemic risk contribution using a closed formula for conditional value at risk through copula. In: Communications on Stochastic Analysis, S. 131-158, 2015, ISSN 0973-9599

Homepage

https://www.math.lsu.edu/cosa/contents.htm