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Could holding multiple safe havens improve diversification in a portfolio? : the extended skew-t vine copula approach
Chang, Meng-Shiuh; Yuan, Jing; Xu, Jing - In: Journal of risk 21 (2018/2019) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012059925
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Path-consistent wrong-way risk : a structural model approach
Hofer, Markus - In: Journal of risk 19 (2016) 1, pp. 25-42
Persistent link: https://www.econbiz.de/10011579756
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Copula parameter estimation : numerical considerations and implications for risk management
Weiß, Gregor - In: Journal of risk 13 (2010/11) 1, pp. 17-53
Persistent link: https://www.econbiz.de/10008699157
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Copulas and portfolio strategies : an applied risk management perspective
Berger, Theo; Missong, Martin - In: Journal of risk 17 (2014/15) 2, pp. 51-91
Persistent link: https://www.econbiz.de/10010476248
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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Portfolio risk forecasting
Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10013262566