ARTICLE
|
doi:10.20944/preprints202102.0019.v1
Subject:
Business, Economics And Management,
Accounting And Taxation
Keywords:
dynamic mixture copula; marginal expected shortfall; systemic risk; insurance sector
Online: 1 February 2021 (12:15:01 CET)
ARTICLE
Subject:
Computer Science And Mathematics,
Probability And Statistics
Keywords:
risk measure; value at risk; tail conditional expectation; expected shortfall; bank capital; Basel accords
Online: 16 April 2019 (10:48:48 CEST)
ARTICLE
|
doi:10.20944/preprints202312.0034.v1
Subject:
Computer Science And Mathematics,
Applied Mathematics
Keywords:
jump-diffusion; different interest rates; shortfall risk minimization; completion; multi-dimensional
Online: 1 December 2023 (04:09:36 CET)