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20122019
most citedMultivariate risk measures in the non-convex setting

2 citations · 2 across the 2 of their papers we have counts for

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Showing 2012 · q-fin.RMShow all

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q-fin.RM2012

Scenarios and their Aggregation in the Regulatory Risk Measurement Environment

Andreas Haier, Thorsten Pfeiffer

We define scenarios, propose different methods of aggregating them, discuss their properties and benchmark them against quadrant requirements.