Risk management - Event risk modelling for equities - Modelling event risk is an important challenge faced by many institutions because of new regulations. The authors develop an innovative approach, including sector- and industry-specific jumps for equity risk factors, and present the results of an application to an example portfolio.
Year of publication: |
2011
|
---|---|
Authors: | Kehl, Annabelle ; Frick, Melanie ; Wehn, Carsten |
Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 2, p. 90-96
|
Saved in:
Saved in favorites
Similar items by person
-
Frick, Melanie, (2010)
-
Messung von Eventrisiken : Modellierung, Parametrisierung, Simulation
Kehl, Annabelle, (2010)
-
Expansions of multivariate Pickands densities and testing the tail dependence
Frick, Melanie, (2009)
- More ...