Extreme VaR scenarios in higher dimensions

Extremes

Volumn 9, Issue 3-4, 2006, Pages 177-192

  Embrechts, Paul ^a   Höing, Andrea ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Copulas; Dependent risks; Value at Risk

Indexed keywords

EID: 34147134474     PISSN: 13861999     EISSN: 1572915X     Source Type: Journal    
DOI: 10.1007/s10687-006-0027-6     Document Type: Article

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