Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund
Giovanni Barone-Adesi, Kostas Giannopoulos and Les Vosper
| Year of publication: |
2018
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|---|---|
| Authors: | Barone-Adesi, Giovanni ; Giannopoulos, Kostas ; Vosper, Les |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 24.2018, 4/6, p. 413-425
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| Subject: | Central counterparty risk management | filtered historical simulation | stress testing | tail dependency | Simulation | Risikomanagement | Risk management | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Statistische Verteilung | Statistical distribution | Portfolio-Management | Portfolio selection | ARCH-Modell | ARCH model |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2017.1308876 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012244329