Ordering of multivariate risk models with respect to extreme portfolio losses

Statistics and Risk Modeling

Volumn 29, Issue 1, 2012, Pages 73-106

  Mainik, Georg ^a   Rüschendorf, Ludger ^a  

^a NONE

Author keywords

extreme risk index; multivariate regular variation; portfolio loss; spectral measure; Stochastic ordering

Indexed keywords

EID: 84991543261     PISSN: 21931402     EISSN: 21967040     Source Type: Journal    
DOI: 10.1524/strm.2012.1103     Document Type: Article

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