Four theorems and a financial crisis
- Author
- DAS, Bikramjit1 ; EMBRECHTS, Paul1 ; FASEN, Vicky1
[1] Department of Mathematics and RiskLab, ETH Zurich, Raemistrasse 101, 8092 Zurich, Switzerland - Issue title
- Uncertainty in Financial Econometrics
- Author (monograph)
- KREINOVICH, Vladik (Editor)1 ; HUYNH, Van-Nam (Editor)2
[1] Department of Computer Science, University of Texas at El Paso, El Paso, TX 79968, United States
[2] School of Knowledge Science, Japan Advances Institute of Science and Technology, 1-1 Asahidai, Nomi, Ishikawa 923-1292, Japan - Source
International journal of approximate reasoning. 2013, Vol 54, Num 6, pp 701-716, 16 p ; ref : 66 ref
- CODEN
- IJARE4
- ISSN
- 0888-613X
- Scientific domain
- Computer science
- Publisher
- Elsevier, Amsterdam
- Publication country
- Netherlands
- Document type
- Article
- Language
- English
- Author keyword
- Copula Correlation Extreme value theory Model uncertainty Risk management Value-at-Risk
- Keyword (fr)
- Agrégation Analyse risque Bourse valeurs Crise économique Diversification Dépendance Gestion financière Gestion portefeuille Gestion risque Marché financier Modélisation Pertinence Quantile Queue distribution Système incertain Théorie valeur Valeur extrême Théorie des copules
- Keyword (en)
- Aggregation Risk analysis Stock exchange Economic crisis Diversification Dependence Financial management Portfolio management Risk management Financial market Modeling Relevance Quantile Distribution tail Uncertain system Value theory Extreme value Copula theory
- Keyword (es)
- Agregación Análisis riesgo Bolsa valores Crisis económica Diversificación Dependencia Administración financiera Gestión cartera Gestión riesgo Mercado financiero Modelización Pertinencia Cuantila Cola distribución Sistema incierto Teoría valor Valor extremo Teoría de Cópulas
- Classification
- Pascal
- 001 Exact sciences and technology / 001A Sciences and techniques of general use / 001A02 Mathematics / 001A02H Probability and statistics / 001A02H02 Statistics / 001A02H02H Nonparametric inference
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A09 Risk theory. Actuarial science
- Pascal
- 001 Exact sciences and technology / 001D Applied sciences / 001D01 Operational research. Management science / 001D01A Operational research and scientific management / 001D01A10 Portfolio theory
- Discipline
- Mathematics Operational research. Management
- Origin
- Inist-CNRS
- Database
- PASCAL
- INIST identifier
- 27450444
Sauf mention contraire ci-dessus, le contenu de cette notice bibliographique peut être utilisé dans le cadre d’une licence CC BY 4.0 Inist-CNRS / Unless otherwise stated above, the content of this bibliographic record may be used under a CC BY 4.0 licence by Inist-CNRS / A menos que se haya señalado antes, el contenido de este registro bibliográfico puede ser utilizado al amparo de una licencia CC BY 4.0 Inist-CNRS
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DOI
10.1016/j.ijar.2012.06.007 
https://dx.doi.org/10.1016/j.ijar.2012.06.007
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