Open AccessUse of copulas for Value-at-Risk calculation and backtesting with an application to
Author(s) -
Aianna Agosto,
Alessandra Mainini,
Enrico Moretto
Publication year - 2018
Publication title -
risk management magazine
Language(s) - English
Resource type - Journals
eISSN - 2724-2153
pISSN - 2612-3665
DOI - 10.47473/2020rmm0039
Subject(s) - econometrics , value (mathematics) , value at risk , mathematics , copula (linguistics) , statistics , economics , risk management , management
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