Stress testing correlation matrices for risk management
Mike K. P. So; Jerry Wong; Manabu Asai
| Year of publication: |
2013
|
|---|---|
| Authors: | So, Mike Ka-pui ; Wong, Jerry ; Asai, Manabu |
| Published in: |
The North American journal of economics and finance : a journal of financial economics studies. - Amsterdam [u.a.] : Elsevier, ISSN 1062-9408, ZDB-ID 1289278-6. - Vol. 26.2013, p. 310-322
|
| Subject: | Blocking | Optimization | Portfolio management | Value at Risk | Volatility | Theorie | Theory | Portfolio-Management | Portfolio selection | Risikomanagement | Risk management | Risikomaß | Risk measure | Volatilität | Korrelation | Correlation | Risiko | Risk |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10010365763