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subject:"Deutschland"
~isPartOf:"Applied quantitative finance"
~isPartOf:"Bundesbank Series 2 Discussion Paper"
~subject:"Portfolio selection"
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ECONIS (ZBW)
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Time Dynamic and Hierarchical Dependence Modelling of an Aggregated Portfolio of Trading Books : A Multivariate Nonparametric Approach
Gaisser, Sandra
-
2016
From a banking supervisory perspective, this paper analyses aspects of market risk of an aggregated trading portfolio comprised of the trading books of 11 German banks with a regulatory approved internal market risk model. Based on real, clean profit and loss data and Value-at-Risk estimates of...
Persistent link: https://www.econbiz.de/10012989258
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Multivariate volatility models
Fengler, Matthias
;
Herwartz, Helmut
;
Raters, F. H. C.
- In:
Applied quantitative finance
,
(pp. 25-37)
.
2017
Persistent link: https://www.econbiz.de/10011794951
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Multivariate volatility models
Fengler, Matthias R.
;
Herwartz, Helmut
- In:
Applied quantitative finance
,
(pp. 313-326)
.
2009
Persistent link: https://www.econbiz.de/10003746416
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