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Persistent link: https://www.econbiz.de/10012244434

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Lo, Andrew W.; MacKinlay, Archie Craig; Zhang, June - 1997

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Uninformative announcements and asset trading behavior

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Time dynamic and hierarchical dependence modelling of an aggregated portfolio of trading books : a multivariate nonparametric approach

Gaißer, Sandra Caterina; Memmel, Christoph; Schmidt, Rafael - 2009

From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...