How robust is the value-at-risk of credit risk portfolios?
Carole Bernard, Ludger Rüschendorf, Steven Vanduffel and Jing Yao
| Year of publication: |
March-April 2017
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| Authors: | Bernard, Carole ; Rüschendorf, Ludger ; Vanduffel, Steven ; Yao, Jing |
| Published in: |
The European journal of finance. - Abingdon, Oxon : Routledge, Taylor & Francis Group, ISSN 1351-847X, ZDB-ID 1282412-4. - Vol. 23.2017, 4/6, p. 507-534
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| Subject: | rearrangement algorithm | moment bounds | value-at-risk | credit risk portfolio | minimum variance | Kreditrisiko | Credit risk | Portfolio-Management | Portfolio selection | Risikomaß | Risk measure | Theorie | Theory | Risikomanagement | Risk management | Varianzanalyse | Analysis of variance |
| Type of publication: | Article |
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| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1080/1351847X.2015.1104370 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011736292