Modelling dynamic portfolio risk using risk drivers of elliptical processes
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Publication:1017766
DOI10.1016/j.insmatheco.2007.05.003zbMath1163.91018MaRDI QIDQ1017766
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
credit risk; volatility clustering; multiplicative error model; elliptical processes; Moody's KMV credit monitor database; portfolio risk modelling
Related Items
Tail asymptotic results for elliptical distributions, Asymptotics for Kotz type III elliptical distributions, Comments on: Inference in multivariate Archimedean copula models
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