The VAR Implementation Handbook, Chapter 13 - Value at Risk for High-Dimensional Portfolios
A Dynamic Grouped t-Copula Approach
Business & Finance, Finance & Investing, Investments & Securities
| Author: | Greg N. Gregoriou | ISBN: | 9780071732727 |
| Publisher: | McGraw-Hill Education | Publication: | February 19, 2009 |
| Imprint: | McGraw-Hill | Language: | English |
| Author: | Greg N. Gregoriou |
| ISBN: | 9780071732727 |
| Publisher: | McGraw-Hill Education |
| Publication: | February 19, 2009 |
| Imprint: | McGraw-Hill |
| Language: | English |
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
The following is a chapter from The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants.
