-dependent distribution. -- value-at-risk ; copula ; non-normal bivariate GARCH ; asymmetric dependence ; profile likelihood-ratio test …

Theoretical Background -- Alternative Approaches in Portfolio Management -- Minimum Risk Portfolios -- Risk Budgeting …Risk budgeting models set risk diversification as objective in portfolio allocation and are mainly promoted from the … asset management industry. Albina Unger examines the portfolios based on different risk measures in several aspects from the …

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can … substantially increase the value-at-risk (VaR). The purpose of this paper is to analyze whether a tractable infection modelʺ can … provide a meaningful estimate of the impact of concentration risk on the VaR. I apply rather parsimonious data requirements …

Results from portfolio models for credit risk tell us that loan concentration …