| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5088684 | Journal of Banking & Finance | 2015 | 13 Pages |
Abstract
Our results make it possible to determine which risk measures can benefit from adding dependence information (i.e., leading to narrower bounds when used to assess portfolio risk) and, hence, to identify those situations for which it would be meaningful to develop accurate multivariate models.
Keywords
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Carole Bernard, Steven Vanduffel,