Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …

Assumptions about the dynamic and distributional behavior of risk factors are crucial for the construction of optimal … portfolios and for risk assessment. Although asset returns are generally characterized by conditionally varying volatilities and …-tailedness of risk factors explicitly into account, while retaining analytical tractability and ease of implementation. An …

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as … using bootstrap simulations. For the late 1990s we find a dramatic increase in the extent to which private equity …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …

In this article, we investigate risk return characteristics and diversification benefits when private equity is used as … using bootstrap simulations. For the late 1990s we find a dramatic increase in the extent to which private equity …. There is a high marginal diversifiable risk reduction of about 80% when the portfolio size is increased to include 15 …

In recent years new methods and models have been developed to quantify credit risk on a portfolio basis. CreditMetrics …

Ambivalence in the regulatory definition of capital adequacy for credit risk has recently steered the financial … generated from a portfolio of bank loans in the form of tranches with different seniority. By way of modelling Merton-type risk … optimal design of loan securitisation from the perspective of credit risk in potential collateral default. We propose a …