Modelling dynamic portfolio risk using risk drivers of elliptical processes

DOI10.1016/J.INSMATHECO.2007.05.003MaRDI QIDQ1017766zbMATH OpenOpenAlexFDO

Authors Rafael Schmidt, Christian Schmieder

Publication date 12 May 2009

Published in Insurance Mathematics \& Economics (Search for Journal in Brave)

Full work available at URL http://hdl.handle.net/10419/19766

zbMATH Keywords

credit riskelliptical processesMoody's KMV credit monitor databasemultiplicative error modelportfolio risk modellingvolatility clustering

Mathematics Subject Classification ID

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Cites work

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Cited in

(4)

• Asymptotics for Kotz type III elliptical distributions
• Comments on: Inference in multivariate Archimedean copula models
• Multivariate elliptic processes
• Tail asymptotic results for elliptical distributions

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