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Tag Archives: Tail dependence
Extreme correlation
Extreme correlation In this article, Shengyu ZHENG (ESSEC Business School, Grande Ecole Program – Master in Management, 2020-2024) explains the concept of extreme correlation. Background In financial risk management, there is a concept that is often overlooked, the extreme correlation … Continue reading
Posted in Contributors, Financial techniques
Tagged Copula, Extreme correlation, Tail dependence
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