Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios (Q2288967)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios |
scientific article |
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Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios (English)
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20 January 2020
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complex dependence
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regular vine copula
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factors
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nonlinear multibeta relationship
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portfolio management
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risk management
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risk parity
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extreme risks
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stress testing
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