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Recovery rates: Ultimate recoveries - Measuring recovery using the ultimate rate observed at emergence from bankruptcy may be conceptually desirable, but modelling it is difficult....
Friedman, Craig; Sandow, Sven - In: Risk : managing risk in the world's financial markets 16 (2003) 8, pp. 69-73
Persistent link: https://www.econbiz.de/10007030919
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Risk management - Fat tails via utility-based entropy - Asset returns are well known to be fat-tailed, but widely used classical econometric techniques are not well suited for buil...
Friedman, Craig; Zhang, Yangyong; Cao, Webo - In: Risk : managing risk in the world's financial markets 25 (2012) 10, pp. 68-72
Persistent link: https://www.econbiz.de/10010040617