Bounds for functions of multivariate risks
By Paul Embrechts. 2006
122 citations recorded by the source corpus.
Subfields: Management Science and Operations Research, Statistics and Probability
View Paper: https://www.semanticscholar.org/paper/64580fc46cf5b3af5026a5fbf6c1dae4dccfca36
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Management Science and Operations Research
- Ignacio Cascos
- Nikolai Kolev
- U. D. Anjos
- Ilya S. Molchanov
- Beatriz Vaz de Melo Mendes
- Mathew D. Penrose
- Scott Ferson
- Alfred Galichon
In Statistics and Probability
- Ignacio Cascos
- Nikolai Kolev
- U. D. Anjos
- Ilya S. Molchanov
- Beatriz Vaz de Melo Mendes
- Mathew D. Penrose
- Scott Ferson
- Alfred Galichon
Citations in the corpus
- Copulas: A Review and Recent Developments (2006, methodology): “In Embrechts et al.[41] is proposed a methodology in order to find the bounds for VaRp( (s)), recently refined by Embrechts and Puccetti[42].”
- MULTIVARIATE RISK MEASURES: A CONSTRUCTIVE APPROACH BASED ON SELECTIONS (2013, background): “The main emphasis is put on the dependency structure of the various components of the portfolio, see Burgert and Rüschendorf (2006), Embrechts and Puccetti (2006).”
- Copulas: A Personal View (2009, unknown): “An application of this theory to operational risk modeling is given in Embrechts and Puccetti [17].”