Correlation and dependence in risk management: properties and pitfalls

Link
http://books.google.com/books?hl=en&lr=&id=39mYKjAn5NIC&oi=fnd&pg=PA176&dq=CORRELATION%20AND%20DEPENDENCY%20IN%20RISK%20MANAGEMENT%20%3A%20PROPERTIES%20AND%20PITFALLS&ots=PC8xRhJooP&sig=do%5C_5jSvyF36vRg2QEf29qXAK0pg
Page
176-223
Year
2002
Contributed
Dempster (ed.) 2002 – Risk management
Keywords
Risk management,Value-at-Risk,coherent risk measures,comonotonicity,copula,correlation,dependency,elliptic distributions,rank correlation,simulation
Categories
New Risk Measures
Authors
Embrechts, Paul
McNeil, Alexander J.
Straumann, Daniel