Open AccessRisk Analysis Method by the Extreme Data of Dependent Exogenous Variables
Author(s) -
Ihor Tereshchenko,
A. I. Tereshchenko,
Nataliya Bilous,
Svetlana Shtangey,
Z. L. Warsza
Publication year - 2022
Publication title -
journal of automation, mobile robotics and intelligent systems
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.137
H-Index - 8
eISSN - 1897-8649
pISSN - 2080-2145
DOI - 10.14313/jamris/3-2021/18
Subject(s) - cvar , extreme value theory , bivariate analysis , expected shortfall , econometrics , random variable , joint probability distribution , variable (mathematics) , variables , tail risk , multivariate statistics , mathematics , statistics , computer science , risk management , economics , mathematical analysis , management