Economic and financial risk factors, copula dependence and risk sensitivity of large multi-asset class portfolios
DOI10.1007/S10479-018-3112-8zbMATH Open1471.91495OpenAlexW2909736466WikidataQ128631748 ScholiaQ128631748MaRDI QIDQ2288967FDOQ2288967
Authors: Catherine Bruneau, Alexis Flageollet, Zhun Peng 
Publication date: 20 January 2020
Published in: Annals of Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10479-018-3112-8
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Cites Work
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- Risk management with high-dimensional vine copulas: an analysis of the Euro Stoxx 50
- Arbitrage, Factor Structure, and Mean-Variance Analysis on Large Asset Markets
- Conditional copula simulation for systemic risk stress testing
- Common risk factors in the returns on stocks and bonds
- Hierarchically nested factor model from multivariate data
- Large portfolio risk management and optimal portfolio allocation with dynamic elliptical copulas
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