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Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
Jin, Xisong; Lehnert, Thorsten - 2017
Persistent link: https://www.econbiz.de/10011817658
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Risk correlation based on time-varying copula function and extreme value theory
Ji, Xinlong; Zhou, Lu - In: Theoretical economics letters 7 (2017) 7, pp. 2213-2229
Persistent link: https://www.econbiz.de/10011786009
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
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Schätzrisiken in der Portfoliotheorie : Auswirkungen und Möglichkeiten der Reduktion
Memmel, Christoph - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10002477202
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Multivariate Modellierung der Renditen von Asset-Klassen auf Basis von Copulas mit Anwendungen im Risikomanagement
Jensen, Sören - 2012
Persistent link: https://www.econbiz.de/10013360909
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Modelling, estimation and visualization of multivariate dependence for risk management
Hsing, Tailen (contributor);  … - 2004
terms of the Value-at-Risk, the multivariate normal model with linear correlation as its natural dependence measure is by no …
Persistent link: https://www.econbiz.de/10002638723
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Modeling dependencies in finance using copulae
Härdle, Wolfgang (contributor); Okhrin, Ostap (contributor) - 2008
In this paper we provide a review of copula theory with applications to finance. We illustrate the idea on the …
Persistent link: https://www.econbiz.de/10003727552
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A semiparametric Bayesian approach to the analysis of financial time series with applications to value at risk estimation
Ausín, M. Concepción; Galeano, Pedro; Ghosh, Pulak - In: European journal of operational research : EJOR 232 (2014) 2, pp. 350-358
Persistent link: https://www.econbiz.de/10010224698
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Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Aramonte, Sirio; Giudice Rodriguez, Marius del; Wu, Jason - In: Journal of banking & finance 37 (2013) 11, pp. 4299-4309
Persistent link: https://www.econbiz.de/10010247041
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Modeling dependencies with copulae
Härdle, Wolfgang; Okhrin, Ostap; Okhrin, Yarema - In: Applied quantitative finance, (pp. 3-36). 2009
Persistent link: https://www.econbiz.de/10003745932