Improving financial risk assessment through dependency

Statistical Modeling

Volumn 2, Issue 2, 2002, Pages 103-122

  Mendes, Beatriz ^a   Moretti, Alba Regina ^b  

^a FEDERAL UNIVERSITY OF RIO DE JANEIRO   (Brazil)

^b Federal University   (Brazil)

Author keywords

bivariate extreme value models; extremal index; risk measures

Indexed keywords

EID: 85010992207     PISSN: 1471082X     EISSN: None     Source Type: Journal    
DOI: 10.1191/1471082x02st028oa     Document Type: Article

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