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Modelling default contagion using multivariate phase-type distributions
Herbertsson, Alexander - In: Review of derivatives research 14 (2011) 1, pp. 1-36
Persistent link: https://www.econbiz.de/10009272496
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Portfolio return distributions : sample statistics with stochastic correlations
Chetalova, Desislava; Schmitt, Thilo A.; Schäfer, Rudi; … - In: International journal of theoretical and applied finance 18 (2015) 2, pp. 1-16
Persistent link: https://www.econbiz.de/10011403228
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Probabilistic constrained optimization : methodology and applications
Uryasev, Stan (ed.) - 2000
Persistent link: https://www.econbiz.de/10001510446
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Stochastic Taylor expansions and saddlepoint approximations for risk management
Studer, Michael (contributor) - 2001 - [Elektronische Ressource]
Persistent link: https://www.econbiz.de/10001674056
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Near-uniformly distributed, stochastically generated portfolios
Dawson, Richard; Young, Richard - In: Advances in portfolio construction and implementation, (pp. 161-192). 2003
Persistent link: https://www.econbiz.de/10001771112
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Factor copula model for portfolio credit risk
Kim, Sung Ik; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-25
Persistent link: https://www.econbiz.de/10012652691
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Fractal statistical measure and portfolio model optimization under power-law distribution
Wu, Xu; Zhang, Linlin; Li, Jia; Yan, Ruzhen - In: The North American journal of economics and finance : a … 58 (2021), pp. 1-11
Persistent link: https://www.econbiz.de/10013186577
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Conditional value-at-risk forecasts of an optimal foreign currency portfolio
Kim, Dongwhan; Kang, Kyu Ho - In: International journal of forecasting 37 (2021) 2, pp. 838-861
Persistent link: https://www.econbiz.de/10012792873
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Ranking the extreme claim amounts in dependent individual risk models
Torrado, Nuria; Navarro, Jorge - In: Scandinavian actuarial journal 2021 (2021) 3, pp. 218-247
Persistent link: https://www.econbiz.de/10012500261
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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157
Persistent link: https://www.econbiz.de/10012058851