Confidence Intervals for Asset Correlations in the Asymptotic Single Risk Factor Model

DOI10.1007/978-3-642-20009-0_18zbMath1420.91490OpenAlexW157977888MaRDI QIDQ5232804

Steffi Höse, Stefan Huschens

Publication date: 13 September 2019

Published in: Operations Research Proceedings (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-20009-0_18

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Credit risk (91G40)

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Confidence Intervals for Asset Correlations in the Asymptotic Single Risk Factor Model

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• QRM

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