34 search results - page 1 / 7 » Extremal financial risk models and portfolio evaluation |
CSDA
2006
13 years 4 months ago
2006
It is difficult to find an existing single model which is able to simultaneously model exceedances over thresholds in multivariate financial time series. A new modeling approach, ...
IOR
2008
13 years 4 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
WSC
2004
13 years 6 months ago
2004
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
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...
HICSS
2003
IEEE
13 years 10 months ago
2003
IEEE
As financial markets are volatile and rapidly changing, preciseness and agility in price evaluation and risk assessment in the portfolios are more important and decision support s...