Estimating hedged portfolio value-at-risk using the conditional copula : an illustration of model risk
Yi-Hsuan Chen; Anthony H. Tu
| Year of publication: |
2013
|
|---|---|
| Authors: | Chen, Yi-Hsuan ; Tu, Anthony H. |
| Published in: |
International review of economics & finance : IREF. - Amsterdam [u.a.] : Elsevier, ISSN 1059-0560, ZDB-ID 1137476-7. - Vol. 27.2013, p. 514-528
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| Subject: | Copula | Value-at-risk | Hedge ratios | Backtests | Subprime market crash | Risikomaß | Risk measure | Hedging | Portfolio-Management | Portfolio selection | Multivariate Verteilung | Multivariate distribution | Risikomanagement | Risk management | Theorie | Theory | Finanzkrise | Financial crisis | Kreditrisiko | Credit risk | ARCH-Modell | ARCH model |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://ebvufind01.dmz1.zbw.eu/10009740775