Risk management of stock portfolios with jumps at exogenous default events
Alexander Herbertsson
| Year of publication: |
September 2023
|
|---|---|
| Authors: | Herbertsson, Alexander |
| Publisher: |
[Göteborg] : Department of Economics, University of Gothenburg |
| Subject: | equity portfolio risk | stock price modelling | credit portfolio risk | risk management | Value-at-Risk | intensity-based models | credit copula models | numerical methods | Theorie | Theory | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Kreditrisiko | Credit risk | Risikomaß | Risk measure | Finanzdienstleistung | Financial services | Multivariate Verteilung | Multivariate distribution |
freely available
| Extent: | 1 Online-Ressource (circa 43 Seiten) |
|---|---|
| Series: | Working papers in economics. - Göteborg, ISSN 1403-2465, ZDB-ID 2684052-2. - Vol. no. 836 |
| Type of publication: | Book / Working Paper |
| Type of publication (narrower categories): | Graue Literatur ; Non-commercial literature ; Arbeitspapier ; Working Paper |
| Language: | English |
| Other identifiers: | hdl:2077/78471 [Handle] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10014431441