Modelling dynamic portfolio risk using risk drivers of elliptical processes
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Publication:1017766
DOI10.1016/j.insmatheco.2007.05.003zbMath1163.91018OpenAlexW1991468436MaRDI QIDQ1017766
Christian Schmieder, Rafael Schmidt
Publication date: 12 May 2009
Published in: Insurance Mathematics \& Economics (Search for Journal in Brave)
Full work available at URL: http://hdl.handle.net/10419/19766
credit riskvolatility clusteringmultiplicative error modelelliptical processesMoody's KMV credit monitor databaseportfolio risk modelling
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Related Items (3)
Tail asymptotic results for elliptical distributions ⋮ Comments on: Inference in multivariate Archimedean copula models ⋮ Asymptotics for Kotz type III elliptical distributions
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