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Kapitaleinkommen
volatility
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Merton’s distance to default model
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So, Leh-Chyan
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Huang, Jhe-Jheng
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Yu, Jun-Yang
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Annals of financial economics
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Journal of mathematical finance
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ECONIS (ZBW)
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Application of copula-GARCH to estimate VaR of a portfolio with credit default swaps
Huang, Jhe-Jheng
;
So, Leh-Chyan
- In:
Journal of mathematical finance
8
(
2018
)
2
,
pp. 382-407
Persistent link: https://www.econbiz.de/10011874816
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2
Improved detection of rare-event risk of a portfolio with US REITs
So, Leh-Chyan
;
Yu, Jun-Yang
- In:
Annals of financial economics
10
(
2015
)
2
,
pp. 1-25
Persistent link: https://www.econbiz.de/10011408574
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