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Archived publication

Copula and tail dependence in risk deposit management

Storvik, Bård

December 01, 2003

NR

  • Filename: 3846/Storvik_-_Copula_and_tail_dependence_in_risk_deposit_managem.pdf
  • Areas: Finance
  • Keywords: Total risk, marginal distribution, dependence, tail dependence, copula
  • Page(s): 12
  • Name and number of project: GB-OPT
  • Title: Copula and tail dependence in risk deposit management
  • Author(s): Storvik, Bård
  • Report number: 29
  • Published date: December 01, 2003

 

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Postal address: Norsk Regnesentral/Norwegian Computing Center, P.O. Box 114 Blindern, NO-0314 Oslo, Norway
Visit address: Norsk Regnesentral, Gaustadalleen 23a, Kristen Nygaards hus, NO-0373 Oslo.
Phone: (+47) 22 85 25 00
AddressHow to get to NR