On measuring nonlinear risk with scarce observations

DOI10.1007/S00780-009-0107-YzbMath1226.91066OpenAlexW3122450402MaRDI QIDQ650755

Juan-Miguel Gracia

Publication date: 27 November 2011

Published in: Finance and Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00780-009-0107-y

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (3)

On decoupling of functions of normal vectors. II ⋮ On decoupling of functions of normal vectors ⋮ Crisis risk prediction with concavity from polymodel

Cites Work

• Analytical methods for hedging systematic credit risk with linear factor portfolios
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