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Anticipating correlations : a new paradigm for risk management

Engle, Robert F. - 2009

Persistent link: https://www.econbiz.de/10003733103

Anticipating Correlations : A New Paradigm for Risk Management

Engle, Robert - 2009

influences the prices of assets and their correlations with each other, and as the system rapidly changes, so too do correlation … estimating correlations for large systems of assets: Dynamic Conditional Correlation (DCC). Engle demonstrates the role of … their relation to other measures of dependence. He compares DCC with other correlation estimators such as historical …

Persistent link: https://www.econbiz.de/10014488318

Hands-On Value-at-Risk and expected shortfall : a practical primer

Auer, Martin - 2018

1 Introduction -- 2 Motivation -- Part I MEASURES -- 3 Basic Terms and Notation -- 4 Historical Value-at-Risk -- 5 Sensitivities -- 6 Stress Tests -- 7 Analytical Value-at-Risk -- 8 Expected Shortfall -- 9 Model Choices -- 10 A Monte Carlo Modi cation -- 11 Support Measures -- Part II OPERATIONS...

Persistent link: https://www.econbiz.de/10013341689

Counterparty risk management : [measuring, pricing and regulation]

Canabarro, Eduardo Antonio Duarte (contributor) - 2014

Persistent link: https://www.econbiz.de/10011783889

Risikomanagement für IT-Projekte

Wack, Jessica - 2007 - 1. Aufl.

Persistent link: https://www.econbiz.de/10003408674

Risikomanagement für IT-Projekte

Wack, Jessica (contributor) - 2007

Grundlagen des Projektmanagements -- Risikoanalyse im Rahmen des Projektmanagements -- Management des Projekt-Risikos für IT-Projekte -- Dimensionen der Risikoanalyse auf Grundlage eines „Project Risk Models“ aus der Praxis -- Empirische Erhebung zur Ermittlung relevanter Risiko- und...