CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS

DOI10.1111/mafi.12029zbMath1314.91246OpenAlexW2767264561MaRDI QIDQ5247427

Michael Kalkbrener, Natalie Packham

Publication date: 24 April 2015

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10419/230746

zbMATH Keywords

correlationrisk managementmultivariate normal distributionstress testingmultivariate \(t\)-distributionnormal variance mixture distribution

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70)

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Cites Work

• Processes of normal inverse Gaussian type
• Sur la distribution limite du terme maximum d'une série aléatoire
• Time Changes for Lévy Processes
• Extreme Financial Risks
• An Introduction to Credit Risk Modeling
• The Mean Values of Certain Dirichlet Series, II
• Some Inequalities on Mill's Ratio and Related Functions
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