CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS
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Cites work
- An Introduction to Credit Risk Modeling
- Extreme Financial Risks
- Extreme value theory. An introduction.
- scientific article; zbMATH DE number 3863589 (Why is no real title available?)
- scientific article; zbMATH DE number 5242364 (Why is no real title available?)
- scientific article; zbMATH DE number 3238248 (Why is no real title available?)
- Processes of normal inverse Gaussian type
- Some Inequalities on Mill's Ratio and Related Functions
- Sur la distribution limite du terme maximum d'une série aléatoire
- The Mean Values of Certain Dirichlet Series, II
- Time changes for Lévy processes
Cited in
(7)- Correlation extrapolated
- Measuring systematic risk with neural network factor model
- Sum of Bernoulli mixtures: beyond conditional independence
- On the limit of conditional Spearman's rho under the common factor model
- Asymptotic behaviour of multivariate default probabilities and default correlations under stress
- A Black-Litterman approach to correlation stress testing
- Up- and down-correlations in normal variance mixture models
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