Risk management - Event risk modelling for equities - Modelling event risk is an important challenge faced by many institutions because of new regulations. The authors develop an innovative approach, including sector- and industry-specific jumps for equity risk factors, and present the results of an application to an example portfolio.
| Year of publication: |
2011
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|---|---|
| Authors: | Kehl, Annabelle ; Frick, Melanie ; Wehn, Carsten |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 24.2011, 2, p. 90-96
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