Paul Embrechts, Andrea Höing, Alessandro Juri. Using copulae to bound the Value-at-Risk for functions of dependent risks. Finance and Stochastics, 7(2):145-167, 2003. [doi]
@article{EmbrechtsHJ03,
title = {Using copulae to bound the Value-at-Risk for functions of dependent risks},
author = {Paul Embrechts and Andrea Höing and Alessandro Juri},
year = {2003},
doi = {10.1007/s007800200085},
url = {http://dx.doi.org/10.1007/s007800200085},
researchr = {https://researchr.org/publication/EmbrechtsHJ03},
cites = {0},
citedby = {0},
journal = {Finance and Stochastics},
volume = {7},
number = {2},
pages = {145-167},
}