4 search results - page 1 / 1 » Bounds for Value at Risk for Asymptotically Dependent Assets... |
EUSFLAT
2007
13 years 6 months ago
2007
The theory of copulas provides a useful tool for modeling dependence in risk management. In insurance and finance, as well as in other applications, dependence of extreme events ...
EOR
2010
13 years 4 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
STOC
2012
ACM
11 years 7 months ago
2012
ACM
Option contracts are a type of financial derivative that allow investors to hedge risk and speculate on the variation of an asset’s future market price. In short, an option has...
SIAMJO
2010
12 years 11 months ago
2010
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...