Modelling dynamic portfolio risk using risk drivers of elliptical processes (Q1017766)
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scientific article; zbMATH DE number 5553075
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Modelling dynamic portfolio risk using risk drivers of elliptical processes |
scientific article; zbMATH DE number 5553075 |
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Modelling dynamic portfolio risk using risk drivers of elliptical processes (English)
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12 May 2009
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portfolio risk modelling
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elliptical processes
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credit risk
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multiplicative error model
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volatility clustering
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Moody's KMV credit monitor database
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0.7697436213493347
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0.7416366934776306
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0.7349085211753845
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0.7222305536270142
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0.7210632562637329
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