Über die Vorteilhaftigkeit von Copula-GARCH-Modellen im finanzwirtschaftlichen Risikomanagement
Year of publication: |
2011
|
---|---|
Authors: | Weiß, Gregor |
Published in: |
Kredit und Kapital. - Berlin : Duncker & Humblot, ISSN 0023-4591, ZDB-ID 3269-4. - Vol. 44.2011, 4, p. 543-577
|
Subject: | Ausfallrisiko (expected shortfall) | Risikomaß | Risk measure | Portfolio-Management | Portfolio selection | Messung | Measurement | ARCH-Modell | ARCH model | Multivariate Verteilung | Multivariate distribution | Schätzung | Estimation | Welt | World | 2001-2008 |
-
FTX Collapse and systemic risk spillovers from FTX Token to major cryptocurrencies
Bouri, Elie, (2023)
-
A new copula for modeling portfolios with skewed, leptokurtic and high-order dependent risk factors
Quatto, Piero, (2021)
-
Dynamic copulas for finance : an application to portfolio risk calculation
Braun, Valentin, (2011)
- More ...
-
Estimating the relation between digitalization and the market value of insurers
Fritzsch, Simon, (2021)
-
Estimating the relation between digitalization and the market value of insurers
Fritzsch, Simon, (2021)
-
Weiß, Gregor, (2008)
- More ...