Part of the Universitext book series (UTX)
Copulae and Value at Risk
The capital requirement from financial institutions is based on the amount of risk carried in their portfolios.
KeywordsMarginal Distribution Pseudo Random Number Portfolio Return Copula Function Gaussian Copula
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.
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© Springer-Verlag Berlin Heidelberg 2011