Full Probabilistic Control for Direct and Robust, Generalized and Targeted Stressing of the Correlation Matrix (Even When Eigenvalues are Empirically Challenging)
| Year of publication: |
2020
|
|---|---|
| Authors: | Opdyke, J.D. |
| Publisher: |
[2020]: [S.l.] : SSRN |
| Description of contents: |
In practice, risk measure ...
|
| Extent: | 1 Online-Ressource (45 p) |
|---|---|
| Type of publication: | Book / Working Paper |
| Language: | English |
| Notes: | In: QuantMinds/RiskMinds September 22-23, 2020 Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 30, 2020 erstellt |
| Classification: | C02 - Mathematical Methods ; C15 - Statistical Simulation Methods; Monte Carlo Methods ; C13 - Estimation ; C63 - Computational Techniques |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012825726