"Using copulae to bound the Value-at-Risk for functions of dependent risks."

Paul Embrechts, Andrea Höing, Alessandro Juri (2003)

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DOI: 10.1007/S007800200085

access: closed

type: Journal Article

metadata version: 2020-07-22

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Paul Embrechts, Andrea Höing, Alessandro Juri:
Using copulae to bound the Value-at-Risk for functions of dependent risks. Finance Stochastics 7(2): 145-167 (2003)

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