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VaR in high dimensional systems : a conditional correlation approach

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The empirical relation between credit quality, recovery and correlation

Rösch, Daniel; Scheule, Harald - 2009

correlation. -- Asset Value ; Correlation ; Credit Portfolio ; Loss Given Default ; Merton Model ; Probability of Default …

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Risikomanagement für heterogene Finanzportfolios

Moys, Gunnar - 2018

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The Use of Risk Budgets in Portfolio Optimization

Unger, Albina - 2015

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 academic perspective (Utility, Performance, Risk,...