Matches in SemOpenAlex for { <https://semopenalex.org/work/W3121391520> ?p ?o ?g. }
Showing items 1 to 90 of
90
with 100 items per page.
- W3121391520 abstract "We show that the use of correlations for modeling dependencies may lead to counterintuitive behavior of risk measures, such as Value-at-Risk (VaR) and Expected Short- fall (ES), when the risk of very rare events is assessed via Monte-Carlo techniques. The phenomenon is demonstrated for mixture models adapted from credit risk analysis as well as for common Poisson-shock models used in reliability theory. An obvious implication of this finding pertains to the analysis of operational risk. The alleged incentive suggested by the New Basel Capital Accord (Basel II), amely decreasing minimum capital requirements by allowing for less than perfect correlation, may not necessarily be attainable." @default.
- W3121391520 created "2021-02-01" @default.
- W3121391520 creator A5032059327 @default.
- W3121391520 creator A5053784498 @default.
- W3121391520 date "2008-01-01" @default.
- W3121391520 modified "2023-09-27" @default.
- W3121391520 title "Value-at-Risk and expected shortfall for rare events" @default.
- W3121391520 cites W2019291268 @default.
- W3121391520 cites W2108549195 @default.
- W3121391520 cites W2184667386 @default.
- W3121391520 cites W3124559688 @default.
- W3121391520 cites W157513211 @default.
- W3121391520 hasPublicationYear "2008" @default.
- W3121391520 type Work @default.
- W3121391520 sameAs 3121391520 @default.
- W3121391520 citedByCount "0" @default.
- W3121391520 crossrefType "posted-content" @default.
- W3121391520 hasAuthorship W3121391520A5032059327 @default.
- W3121391520 hasAuthorship W3121391520A5053784498 @default.
- W3121391520 hasConcept C100906024 @default.
- W3121391520 hasConcept C101097943 @default.
- W3121391520 hasConcept C10138342 @default.
- W3121391520 hasConcept C105795698 @default.
- W3121391520 hasConcept C11489865 @default.
- W3121391520 hasConcept C121332964 @default.
- W3121391520 hasConcept C149782125 @default.
- W3121391520 hasConcept C162118730 @default.
- W3121391520 hasConcept C162324750 @default.
- W3121391520 hasConcept C175444787 @default.
- W3121391520 hasConcept C178350159 @default.
- W3121391520 hasConcept C2777317252 @default.
- W3121391520 hasConcept C2779812064 @default.
- W3121391520 hasConcept C2780759654 @default.
- W3121391520 hasConcept C2780859788 @default.
- W3121391520 hasConcept C2864544 @default.
- W3121391520 hasConcept C29122968 @default.
- W3121391520 hasConcept C32896092 @default.
- W3121391520 hasConcept C33923547 @default.
- W3121391520 hasConcept C5496284 @default.
- W3121391520 hasConcept C62520636 @default.
- W3121391520 hasConcept C94128290 @default.
- W3121391520 hasConceptScore W3121391520C100906024 @default.
- W3121391520 hasConceptScore W3121391520C101097943 @default.
- W3121391520 hasConceptScore W3121391520C10138342 @default.
- W3121391520 hasConceptScore W3121391520C105795698 @default.
- W3121391520 hasConceptScore W3121391520C11489865 @default.
- W3121391520 hasConceptScore W3121391520C121332964 @default.
- W3121391520 hasConceptScore W3121391520C149782125 @default.
- W3121391520 hasConceptScore W3121391520C162118730 @default.
- W3121391520 hasConceptScore W3121391520C162324750 @default.
- W3121391520 hasConceptScore W3121391520C175444787 @default.
- W3121391520 hasConceptScore W3121391520C178350159 @default.
- W3121391520 hasConceptScore W3121391520C2777317252 @default.
- W3121391520 hasConceptScore W3121391520C2779812064 @default.
- W3121391520 hasConceptScore W3121391520C2780759654 @default.
- W3121391520 hasConceptScore W3121391520C2780859788 @default.
- W3121391520 hasConceptScore W3121391520C2864544 @default.
- W3121391520 hasConceptScore W3121391520C29122968 @default.
- W3121391520 hasConceptScore W3121391520C32896092 @default.
- W3121391520 hasConceptScore W3121391520C33923547 @default.
- W3121391520 hasConceptScore W3121391520C5496284 @default.
- W3121391520 hasConceptScore W3121391520C62520636 @default.
- W3121391520 hasConceptScore W3121391520C94128290 @default.
- W3121391520 hasLocation W31213915201 @default.
- W3121391520 hasOpenAccess W3121391520 @default.
- W3121391520 hasPrimaryLocation W31213915201 @default.
- W3121391520 hasRelatedWork W1535143236 @default.
- W3121391520 hasRelatedWork W1582451192 @default.
- W3121391520 hasRelatedWork W1584018694 @default.
- W3121391520 hasRelatedWork W1586405768 @default.
- W3121391520 hasRelatedWork W1587429494 @default.
- W3121391520 hasRelatedWork W1890574438 @default.
- W3121391520 hasRelatedWork W2077406845 @default.
- W3121391520 hasRelatedWork W2101964784 @default.
- W3121391520 hasRelatedWork W2169314767 @default.
- W3121391520 hasRelatedWork W2557082116 @default.
- W3121391520 hasRelatedWork W2606097272 @default.
- W3121391520 hasRelatedWork W2937483784 @default.
- W3121391520 hasRelatedWork W3121131252 @default.
- W3121391520 hasRelatedWork W3121315329 @default.
- W3121391520 hasRelatedWork W3122746186 @default.
- W3121391520 hasRelatedWork W3122967788 @default.
- W3121391520 hasRelatedWork W3123069535 @default.
- W3121391520 hasRelatedWork W3123587043 @default.
- W3121391520 hasRelatedWork W3178985728 @default.
- W3121391520 hasRelatedWork W3122787393 @default.
- W3121391520 isParatext "false" @default.
- W3121391520 isRetracted "false" @default.
- W3121391520 magId "3121391520" @default.
- W3121391520 workType "article" @default.