Bruneau, Catherine; Flageollet, Alexis; Peng, Zhun - Centre d'Économie de la Sorbonne, Université Paris 1 … - 2015
In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional portfolio composed of different classes of assets, especially in extreme risk circumstances. We build a so-called Cvine Risk Factors Model (CRFM), which is a non-linear version of a risk factor model...
