Multifactor granularity adjustments for market and counterparty risks
Year of publication: |
August 2018
|
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Authors: | Fermanian, Jean-David ; Florentin, Clément |
Published in: |
Journal of risk. - London : Infopro Digital Risk, ISSN 1465-1211, ZDB-ID 1476260-2. - Vol. 20.2017/2018, 6, p. 1-27
|
Subject: | granularity adjustment (GA) | value-at-risk (VaR) | counterparty risk | market risk | elliptical distributions | Theorie | Theory | Risikomaß | Risk measure | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Messung | Measurement |
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