Modelling dynamic portfolio risk using risk drivers of elliptical processes (Q1017766)
From MaRDI portal
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Modelling dynamic portfolio risk using risk drivers of elliptical processes |
scientific article |
Statements
Modelling dynamic portfolio risk using risk drivers of elliptical processes (English)
0 references
12 May 2009
0 references
portfolio risk modelling
0 references
elliptical processes
0 references
credit risk
0 references
multiplicative error model
0 references
volatility clustering
0 references
Moody's KMV credit monitor database
0 references
0 references
