Autor:	Fuchs Sebastian, Trutschnig Wolfgang
Jazyk:	angličtina
Rok vydání:	2020
Předmět:	co-value-at-risk co-risk measure checkerboard copula weak convergence estimation 62h05 60e05 91g70 Science (General) Q1-390 Mathematics QA1-939
Zdroj:	Dependence Modeling, Vol 8, Iss 1, Pp 396-416 (2020)
Druh dokumentu:	article
ISSN:	2300-2298 2020-0021
DOI:	10.1515/demo-2020-0021
Popis:	Conditional Value-at-Risk (CoVaR) is defined as the Value-at-Risk of a certain risk given that the related risk equals a given threshold (CoVaR=) or is smaller/larger than a given threshold (CoVaR
Databáze:	Directory of Open Access Journals
Externí odkaz:	https://doaj.org/article/8352960e81c74d919a0d06b367da4bf5 Zobrazit plný text záznamu View record in DOAJ