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Ruin probabilities under general investments and heavy-tailed claims
Hult, Henrik; Lindskog, Filip - In: Finance and stochastics 15 (2011) 2, pp. 243-266
Persistent link: https://www.econbiz.de/10009014648
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A note on Wick products and the fractional Black-Scholes model
Björk, Tomas; Hult, Henrik - In: Finance and stochastics 9 (2005) 2, pp. 197-210
Persistent link: https://www.econbiz.de/10008214424
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Credit portfolio risk: Using the grouped t-copula Student-t copula models can be oversimplistic when used to describe credit portfolios. This is a new, generalised model that clusters individual risk factors within various geographical sectors.
Daul, Stéphane; Giorgi, Enrico De; Lindskog, Filip; … - In: Risk : managing risk in the world's financial markets 16 (2003) 11, pp. 73-76
Persistent link: https://www.econbiz.de/10007029826