Estimating a covariance matrix for market risk management and the case of credit default swaps (Q4628036): Difference between revisions
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Revision as of 16:39, 5 March 2024
scientific article; zbMATH DE number 7032861
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Estimating a covariance matrix for market risk management and the case of credit default swaps |
scientific article; zbMATH DE number 7032861 |
Statements
Estimating a covariance matrix for market risk management and the case of credit default swaps (English)
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6 March 2019
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portfolio risk
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correlation matrices
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matrix loss functions
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margin requirements
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