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  • Search: subject:"subordinated Lévy model"
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VaR 1 backtesting 1 market risk 1 subordinated Lévy model 1
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Free 1
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Article 1
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Kresta, Ales 1 Tichy, Tomas 1
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Czech Journal of Economics and Finance (Finance a uver) 1
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RePEc 1
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International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions
Kresta, Ales; Tichy, Tomas - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 2, pp. 141-161
Financial risk modeling and management are very important and challenging tasks for financial institutions’ quantitative units. Owing to the complex nature of portfolios, and given recent financial market developments, contemporary research is focused on tail modeling and/or dependency...
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