Search Results - subject:"Correlation risk"

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - In: Quantitative finance 24 (2024) 6, pp. 693-718

Persistent link: https://www.econbiz.de/10015050788

Byrne, Joseph P.; Sakemoto, Ryuta - In: Journal of commodity markets : JCM 38 (2025), pp. 1-15

Persistent link: https://www.econbiz.de/10015426547

Byrne, Joseph P.; Sakemoto, Ryuta - 2022

Persistent link: https://www.econbiz.de/10013478831

Faria, Gonçalo; Kosowski, Robert L.; Wang, Tianyu - In: Journal of banking & finance 136 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013448802

Turfus, Colin - In: International Journal of Financial Studies : open … 6 (2018) 2, pp. 1-20

We propose a simple but practical methodology for the quantification of correlation risk in the context of credit …

Persistent link: https://www.econbiz.de/10011883430

Distaso, Walter; Mele, Antonio; Vilkov, Grigory - 2021 - This version: January 13, 2021

-series behavior of the premium for the risk of changes in asset correlations (the premium for correlation risk), including its inverse …

Persistent link: https://www.econbiz.de/10012421289

Turfus, Colin - In: International Journal of Financial Studies 6 (2018) 2, pp. 1-20

We propose a simple but practical methodology for the quantification of correlation risk in the context of credit …

Persistent link: https://www.econbiz.de/10011996119

Park, Keehwan; Fang, Zhongzheng - In: Applied economics 53 (2021) 5, pp. 575-594

Persistent link: https://www.econbiz.de/10012416076

Sokolinskiy, Oleg - In: Review of quantitative finance and accounting 55 (2020) 2, pp. 389-426

Persistent link: https://www.econbiz.de/10012303884

Faria, Gonçalo; Kosowski, Robert L.; Wang, Tianyu - 2021

Persistent link: https://www.econbiz.de/10012592939

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