A copula approach to value-at-risk estimation for fixed-income portfolios
Year of publication: |
2007
|
---|---|
Authors: | Martellini, Lionel ; Meyeredi, Jean-Christophe |
Published in: |
The journal of fixed income. - London : IPR Journals, ISSN 1059-8596, ZDB-ID 1116103-6. - Vol. 17.2007, 1, p. 5-15
|
Subject: | Risikomaß | Risk measure | Anleihe | Bond | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Theorie | Theory |
-
Rahman, Md Lutfur, (2022)
-
Abdelkafi, Samar Zlitni, (2018)
-
Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob, (2016)
- More ...
-
Asset allocation and portfolio construction
Amenc, Noël, (2008)
-
Introduction to performance analysis
Amenc, Noël, (2008)
-
Risk management for asset management firms
Amenc, Noël, (2008)
- More ...