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) - value at risk , econometrics , value (mathematics) , copula (linguistics) , actuarial science , expected shortfall , mathematics , economics , statistics , risk management , finance