Open AccessCopulas as a Measure of Dependence in Skewed Portfolios of Risk / simulation study on Financial Losses
Publication year - 2017
Publication title -
zanco journal of pure and applied sciences
Language(s) - English
Resource type - Journals
eISSN - 2412-3986
pISSN - 2218-0230
DOI - 10.21271/zjpas.29.3.11
Subject(s) - copula (linguistics) , econometrics , randomness , portfolio , dynamic risk measure , risk measure , tail dependence , random variable , monte carlo method , risk management , joint probability distribution , computer science , economics , mathematics , statistics , finance , multivariate statistics
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