Mathematical Risk Analysis: Dependence, Risk Bounds, Optimal Allocations and Portfolios

By Ludger Rüschendorf. 2013

146 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/56f2be8c03ef881ab1ebab79c3872369f9ce2c56

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

1. Paul Embrechts
2. Marius Hofert
3. Ludger Rüschendorf
4. Antonela Beleraj
5. Andrew J. Patton
6. V. Chavez‐Demoulin
7. Yanqin Fan
8. Eike C. Brechmann

Citations in the corpus

• An Academic Response to Basel 3.5 (2014, background): “We refer to a recent book Rüschendorf [26] for an overview of research on extremal problems with marginal constraints and dependence uncertainty.”
• Statistics and Quantitative Risk Management for Banking and Insurance (2014, background): “Due to its importance for QRM, Sibuya (1959) and, more broadly, tail dependence was referred to in the original Embrechts et al. (2002, Section 4.4).”