Modelling dynamic portfolio risk using risk drivers of elliptical processes
type: Item
instance of: scholarly article
title: Modelling dynamic portfolio risk using risk drivers of elliptical processes
zbMATH Open document ID: 1163.91018
author: Rafael Schmidt
author: Christian Schmieder
published in: Insurance Mathematics \& Economics
publication date: 2009-05-12T00:00:00Z
full work available at URL: http://hdl.handle.net/10419/19766
Mathematics Subject Classification ID: 91B30
zbMATH DE Number: 5553075
zbMATH Keywords: portfolio risk modelling
zbMATH Keywords: elliptical processes
zbMATH Keywords: credit risk
zbMATH Keywords: multiplicative error model
zbMATH Keywords: volatility clustering
zbMATH Keywords: Moody's KMV credit monitor database
MaRDI profile type: Publication
OpenAlex ID: W1991468436
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DOI: 10.1016/J.INSMATHECO.2007.05.003
description: scientific article; zbMATH DE number 5553075