Estimating a covariance matrix for market risk management and the case of credit default swaps
Richard Neuberg and Paul Glasserman
| Year of publication: |
2019
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|---|---|
| Authors: | Neuberg, Richard ; Glasserman, Paul |
| Published in: |
Quantitative finance. - London : Taylor & Francis, ISSN 1469-7696, ZDB-ID 2027557-2. - Vol. 19.2019, 1, p. 77-92
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| Subject: | Correlation matrices | Margin requirements | Matrix loss functions | Portfolio risk | Finanzdienstleistung | Financial services | Portfolio-Management | Portfolio selection | Kreditderivat | Credit derivative | Kreditrisiko | Credit risk | Korrelation | Correlation | Risikomanagement | Risk management | Schätztheorie | Estimation theory | Derivat | Derivative |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/14697688.2018.1494850 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012194621