Comparison of multivariate risks and positive dependence

By Ludger Rüschendorf. Journal of Applied Probability, 2004

55 citations recorded by the source corpus.

Subfields: Management Science and Operations Research, Statistics and Probability

View Paper: https://www.semanticscholar.org/paper/a075bfd809cd73ee08854f15921216916d421606

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

1. Jean Paul Laurent
2. X. Burtschell
3. Jon Gregory

In Statistics and Probability

1. Jean Paul Laurent
2. X. Burtschell
3. Jon Gregory
4. Alan G. White
5. John C. Hull
6. N. Whelan
7. Rüdiger Frey
8. J. Backhaus

Citations in the corpus

• A Comparative Analysis of CDO Pricing Models under the Factor Copula Framework (2009, background): “Large portfolio approximations are well known in the credit portfolio field (see Vasicek [2002], Schönbucher [2002], or Schloegl and O’Kane [2005]).”
• Consistent risk measures for portfolio vectors (2006, unknown): “4 Sufficient conditions for ≤sm and ≤dcx were established in [11], e.”