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Confidence sets for asset correlations in portfolio credit risk
Castro Iragorri, Carlos Alberto - In: Revista de economía del Rosario 15 (2012) 1, pp. 19-58
Persistent link: https://www.econbiz.de/10010208712
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Does the market model provide a good counterfactual for event studies in finance?
Castro Iragorri, Carlos Alberto - In: Financial markets and portfolio management 33 (2019) 1, pp. 71-91
Persistent link: https://www.econbiz.de/10012018357
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Worst-case higher moment risk measure : addressing distributional shifts and procyclicality
Castro Iragorri, Carlos Alberto; Gómez, Fabio; … - In: Finance research letters 65 (2024), pp. 1-8
Persistent link: https://www.econbiz.de/10014564284