A Generalized Error Distribution Copula-based method for portfolios risk assessment
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DOI: 10.1016/j.physa.2019.04.077
Abstract: In this paper, we deal with the evaluation of Conditional Value-at-Risk in the framework of portfolio theory by using a modified Gaussian Copula – where the modification is obtained by introducing the Generalized Correlation Coefficient… read more here.
Keywords: risk assessment; copula based; error distribution; generalized error ... See more keywords