Leveraging prices from credit and equity option markets for portfolio risk management
Year of publication: |
2024
|
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Authors: | Bégin, Jean-François ; Boudreault, Mathieu ; Thériault, Mathieu |
Published in: |
The journal of futures markets. - New York, NY : Wiley Interscience, ISSN 1096-9934, ZDB-ID 2002201-3. - Vol. 44.2024, 1, p. 122-147
|
Subject: | credit risk management | default intensity | machine learning | recovery rates | unit recovery claim | Kreditrisiko | Credit risk | Risikomanagement | Risk management | Portfolio-Management | Portfolio selection | Insolvenz | Insolvency | Finanzdienstleistung | Financial services | Optionspreistheorie | Option pricing theory |
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