Risk management under a factor stochastic volatility model (Q3083549)
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scientific article; zbMATH DE number 5869320
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| English | Risk management under a factor stochastic volatility model |
scientific article; zbMATH DE number 5869320 |
Statements
RISK MANAGEMENT UNDER A FACTOR STOCHASTIC VOLATILITY MODEL (English)
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22 March 2011
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stochastic correlation
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factor models
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expected shortfall
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value at risk
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portfolio management
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0.7574169039726257
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0.7542610168457031
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0.7507327795028687
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0.7507327795028687
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0.7475924491882324
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