Adjusting covariance matrix for risk management
Year of publication: |
2020
|
---|---|
Authors: | Yu, Philip L. H. ; Ng, F. C. ; Ting, Jessica K. W. |
Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 20.2020, 10, p. 1681-1699
|
Subject: | Covariance matrix | IFRS 9 | Stress testing | Subjective view | Risikomanagement | Risk management | Korrelation | Correlation | IFRS | Portfolio-Management | Portfolio selection |
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