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~isPartOf:"BIS working papers"
~isPartOf:"Discussion paper / Tinbergen Institute"
~isPartOf:"Discussion paper series / UCL Economics"
~isPartOf:"HWWA discussion paper"
~isPartOf:"Research memorandum / METEOR"
~isPartOf:"Study paper"
~isPartOf:"Technical working paper / National Bureau of Economic Research"
~isPartOf:"Working papers / Federal Reserve Bank of Boston"
~language:"eng"
~person:"Florax, Raymond J. G. M."
~person:"Gil-Alaña, Luis A."
~person:"Koopman, Siem Jan"
~person:"Ommeren, Jos van"
~person:"Vries, Casper G. de"
~subject:"Portfolio selection"
~type_genre:"Collection of articles written by one author"
~type_genre:"Handbuch"
~type_genre:"Non-commercial literature"
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Florax, Raymond J. G. M.
Gil-Alaña, Luis A.
Koopman, Siem Jan
Ommeren, Jos van
Vries, Casper G. de
Lucas, André
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ECONIS (ZBW)
13
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1
Global credit risk :
world
, country and industry factors
Schwaab, Bernd
;
Koopman, Siem Jan
;
Lucas, André
-
2015
area sovereign debt crises. We find that macro and default-specific
world
factors are a primary source of default …
Persistent link: https://www.econbiz.de/10010484886
Saved in:
2
The downside risk of heavy tails induces low diversification
Hyung, Namwon
;
Vries, Casper G. de
-
2010
Persistent link: https://www.econbiz.de/10008655194
Saved in:
3
Macro, industry and frailty effects in defaults : the 2008 credit crisis in perspective
Koopman, Siem Jan
;
Lucas, André
;
Schwaab, Bernd
-
2010
We determine the magnitude and nature of systematic default risk using 1971{2009) default data from Moody's. We disentangle systematic risk factors due to business cycle effects, common default dynamics (frailty), and industry-specific dynamics (including contagion). To quantify the contribution...
Persistent link: https://www.econbiz.de/10011379607
Saved in:
4
Systemic risk diagnostics
Schwaab, Bernd
;
Lucas, André
;
Koopman, Siem Jan
-
2010
, and the rest of the
world
. Controlling for global,region-specific, and industry effects, we construct coincident measures …
Persistent link: https://www.econbiz.de/10011382067
Saved in:
5
Convolutions of heavy tailed random variables and applications to portfolio diversification and MA(1) time series
Geluk, Jaap
;
Peng, Liang
;
Vries, Casper G. de
-
1999
The paper characterizes first and second order tail behavior ofconvolutions of i.i.d. heavy tailed random variables with supporton the real line. The result is applied to the problem of riskdiversification in portfolio analysis and to the estimation of theparameter in a MA(1) model.
Persistent link: https://www.econbiz.de/10011302620
Saved in:
6
Generational accounting, solidarity and pension losses
Teulings, Coen N.
;
Vries, Casper G. de
-
2003
consumption and portfolio
theory
shows that the younger generations should have the higher equity exposure due to their human …
Persistent link: https://www.econbiz.de/10011334341
Saved in:
7
Portfolio diversification effects and regular variation in financial data
Hyung, Namwon
;
Vries, Casper G. de
-
2001
returns. The
theory
of regular variation and extreme values provides a model for this feature of financial data. We first … review this
theory
and subsequently study the problem of portfolio diversification in particular. We show that if the …
Persistent link: https://www.econbiz.de/10011317458
Saved in:
8
Optimal portfolio allocation under a probabilistic risk constraint and the incentives for financial innovation
Daníelsson, Jón
;
Jorgensen, Bjorn N.
;
Vries, Casper G. de
-
2001
We characterize the investor’s optimal portfolio allocation subject to a budget constraint and a probabilistic VaR constraint in complete markets environments with a finite number of states. The set of feasible portfolios might no longer be connected or convex, while the number of local optima...
Persistent link: https://www.econbiz.de/10011317459
Saved in:
9
Portfolio diversification effects and regular variation in financial data
Hyung, Namwon
;
Vries, Casper G. de
-
2001
Persistent link: https://www.econbiz.de/10001594653
Saved in:
10
Generational accounting, solidarity and pension losses
Teulings, Coen N.
;
Vries, Casper G. de
-
2003
Persistent link: https://www.econbiz.de/10001884957
Saved in:
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