Comparative Analysis of Portfolio Risk Measures based on EVT-Copula Approach during Financial Crises

Korean Journal of Financial Studies 2006;35(3):175-205.
Published online June 30, 2006.

금융위기하에서 포트폴리오 위험척도의 비교

오세경, 문성주

Key Words: 포트폴리오 위험척도,EVT-Copula,Expected Shortfall,Portfolio Risk Measures,Value-at-Risk,Variance-Covariance Method

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