Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Year of publication: |
May 2018
|
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Authors: | Huang, Jhe-Jheng ; So, Leh-Chyan |
Published in: |
Journal of mathematical finance. - [S.l.] : Scientific Research, ISSN 2162-2434, ZDB-ID 2657377-5. - Vol. 8.2018, 2, p. 382-407
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Subject: | Copula | GARCH | VaR | CDX | VIX | Kreditderivat | Credit derivative | Risikomaß | Risk measure | Multivariate Verteilung | Multivariate distribution | ARCH-Modell | ARCH model | Portfolio-Management | Portfolio selection | VAR-Modell | VAR model | Schätzung | Estimation | Kreditrisiko | Credit risk | Volatilität | Volatility | Kapitaleinkommen | Capital income | Swap | Derivat | Derivative |
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