Risk Management: Correlation and Dependence in Risk Management: Properties and Pitfalls

P. Embrechts, A. McNeil, D. Straumann · 2002

Summary

This article deals with the static (nontime- dependent) case and emphasizes the copula representation of dependence for a random vector and the problem of finding multivariate models which are consistent with prespecified marginal distributions and correlations is addressed.

Published: 2002-01-01
Cited by: 2,027
References: 54
DOI: https://doi.org/10.1017/cbo9780511615337.008
Semantic Scholar: https://api.semanticscholar.org/CorpusID:15107780

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