Record link: 
http://hdl.handle.net/20.500.12708/154278
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Title: 
The accuracy of simple copula models in market risk estimates: A mixed asset portfolio approach
en
Citation: 
Aussenegg, W., & Cech, C. (2022). The accuracy of simple copula models in market risk estimates: A mixed asset portfolio approach. http://hdl.handle.net/20.500.12708/154278
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Publication Type: 
Report - Working Paper
en
Language: 
English
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Authors: 
Aussenegg, Wolfgang 
Cech, Christian 
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Organisational Unit: 
E330-04 - Forschungsbereich Finanzwirtschaft und Controlling 
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Date (published): 
11-Dec-2022
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Keywords: 
Mixed asset portfolio risk, Financial correlation, Copula, Method-of-moments, Value-at-Risk
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Research Areas: 
Mathematical Methods in Economics: 80%
Modeling and Simulation: 20%
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Science Branch: 
1020 - Informatik: 20%
5020 - Wirtschaftswissenschaften: 70%
1010 - Mathematik: 10%
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Appears in Collections:
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