Ordering of multivariate risk models with respect to extreme portfolio losses

Ruschendorf, Ludger, Rueschendorf, Ludger, Mainik, Georg, Rüschendorf, Ludger . Statistics & Decisions 2012. 29 (1) :73-106

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Bibtex

@article{CIS-269588,
  Author = {Ruschendorf, Ludger and Rueschendorf, Ludger and Mainik, Georg and Rüschendorf, Ludger},
  Title = {Ordering of multivariate risk models with respect to extreme portfolio losses},
  Journal = {Statistics & Decisions},
  Volume = {29},
  Number = {1},
  Year = {2012},
  Pages = {73--106},
  Keywords = {Meta-analysis, I-squared, Stochastic ordering, Spectral measure, Multivariate regular variation, extreme risk index}
}

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