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isPartOf:"Advanced bond portfolio management : best practices in modeling and strategies"
subject:"Theorie"
~isPartOf:"Quantitative finance"
~person:"Albanese, Claudio"
~person:"Haugh, Martin B."
~person:"Kwon, Roy H."
~subject:"Risikomanagement"
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Albanese, Claudio
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Advanced bond portfolio management : best practices in modeling and strategies
Quantitative finance
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Quantitative reverse stress testing, bottom up
Albanese, Claudio
;
Crépey, Stéphane
;
Iabichino, Stefano
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 863-875
Persistent link: https://www.econbiz.de/10014304378
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Scenario analysis for derivative portfolios via dynamic factor models
Haugh, Martin B.
;
Lacedelli, Octavio Ruiz
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 547-571
Persistent link: https://www.econbiz.de/10012194907
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3
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
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