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Using copulae to bound the Value-at-Risk for functions of dependent risks |
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| Authors: | Paul Embrechts Andrea Höing Alessandro Juri |
| Institution: | (1) Department of Mathematics ETHZ, CH-8092 Zurich, Switzerland (e-mail: {embrechts,ahoeing,juri}@math.ethz.ch.) , CH |
| Abstract: | |
| Keywords: | : Comonotonicity copulae dependent risks Fréchet bounds orthant dependence risk management Value-at-Risk |
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