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type_genre:"Sammelwerk"
~person:"Herbertsson, Alexander"
~subject:"Portfolio selection"
~subject:"Statistische Verteilung"
~type_genre:"Arbeitspapier"
~type_genre:"Graue Literatur"
~type_genre:"Working Paper"
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Portfolio selection
Statistische Verteilung
Credit risk
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Kreditrisiko
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Portfolio-Management
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Risikomanagement
3
Risk management
3
Multivariate Verteilung
2
Multivariate distribution
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Risk measure
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credit copula models
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credit portfolio risk
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equity portfolio risk
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intensity-based models
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numerical methods
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Asset-Backed Securities
1
Asset-backed securities
1
CAPM
1
Credit derivative
1
Financial services
1
Finanzdienstleistung
1
Fourier-transform methods
1
Kreditderivat
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Markov chain
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Markov-Kette
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Option pricing theory
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Optionspreistheorie
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Statistical distribution
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Stochastischer Prozess
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Theorie
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Theory
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Value-at-Risk
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Valueat-Risk
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conditional independent dependence modelling
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factor models
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risk management
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saddlepoint-methods
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stock price modelling
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Herbertsson, Alexander
Eller, Roland
7
Diebold, Francis X.
6
Gregoriou, Greg N.
5
Pesaran, M. Hashem
5
Scaillet, Olivier
5
Schuermann, Til
5
Christoffersen, Peter F.
4
Csóka, Péter
4
Daouia, Abdelaati
4
Engle, Robert F.
4
Farkas, Walter
4
Fermanian, Jean-David
4
Fortin, Ines
4
Girard, Stéphane
4
Härdle, Wolfgang
4
Lee, Cheng F.
4
Manganelli, Simone
4
McAleer, Michael
4
Pérez Amaral, Teodosio
4
Rudolph, Bernd
4
Wilkens, Marco
4
Andersen, Torben
3
Bagliano, Fabio C.
3
Barone-Adesi, Giovanni
3
Bollerslev, Tim
3
Chen, Ying
3
Daníelsson, Jón
3
Filipović, Damir
3
Fugazza, Carolina
3
Gouriéroux, Christian
3
Herings, Peter Jean-Jacques
3
Nicodano, Giovanna
3
Oehler, Andreas
3
Okhrin, Ostap
3
Peydró, José-Luis
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Polo, Andrea
3
Satchell, Stephen
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Schlögl, Erik
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Sette, Enrico
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ECONIS (ZBW)
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Risk management of stock portfolios with jumps at exogenous default events
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014431441
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2
Saddlepoint approximations for credit portfolio distributions with applications in equity risk management
Herbertsson, Alexander
-
2023
Persistent link: https://www.econbiz.de/10014518798
Saved in:
3
A Markov Copula model of portfolio credit risk with stochastic intensities and Random recoveries
Bielecki, Tomasz R.
;
Cousin, Areski
;
Crépy, Stéphane
; …
-
2012
Persistent link: https://www.econbiz.de/10009630172
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