Tail-risk protection trading strategies
Year of publication: |
2019
|
---|---|
Authors: | Packham, Natalie ; Papenbrock, Jochen ; Schwendner, P. ; Wöbbeking, Carl Fabian |
Published in: |
Essays in risk and finance. - Frankfurt am Main. - 2019, p. 32-63
|
Subject: | tail-risk protection | portfolio protection | extreme events | tail distributions | Portfolio-Management | Portfolio selection | Protektionismus | Protectionism | Theorie | Theory | Statistische Verteilung | Statistical distribution | Risiko | Risk | Risikomanagement | Risk management |
-
Evaluating an EGARCH model with fat tails, skewness and leverage in forecasting VaR
Benito Muela, Sonia, (2015)
-
Sigauke, Casto, (2016)
-
Managing ambiguity in asset allocation
Kaya, Hakan, (2017)
- More ...
-
Correlation Scenarios and Correlation Stress Testing
Packham, Natalie, (2021)
-
Correlation scenarios and correlation stress testing
Packham, Natalie, (2023)
-
A factor-model approach for correlation scenarios and correlation stress testing
Packham, Natalie, (2019)
- More ...