Stress-testing for portfolios of commodity futures
Year of publication: |
November 2015
|
---|---|
Authors: | Paraschiv, Florentina ; Mudry, Pierre-Antoine ; Andrieş, Alin Marius |
Published in: |
Economic modelling. - Amsterdam [u.a.] : Elsevier, ISSN 0264-9993, ZDB-ID 86824-3. - Vol. 50.2015, p. 9-18
|
Subject: | Stress testing | Commodity futures | Risk measures | Extreme value theory | Copula functions | Rohstoffderivat | Commodity derivative | Risikomaß | Risk measure | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Theorie | Theory | Warenbörse | Commodity exchange | Ausreißer | Outliers |
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