92245 Malakoff Cedex
France
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Copulas, dependence measures, risk management
Asset-backed securities, top-down models, default
Value at Risk, Expected Shortfall, Sensitivity, Risk Management, Credit Risk, Netting
Investment strategy, Portfolio choice, Conditional Value-at-Risk, Implied volatility, Hedging
CDO, replication, delta hedging, structural models.
Copulas, Goodness-of-fit
copulas, goodness-of-fit, bootstrap
credit portfolio model, granularity adjustment, Value-at-Risk, Fourier Transform
Dynamic Conditional Correlations, Multivariate GARCH, Partial Correlations, Quasi Maximum Likelihood Estimator, Regular vine
Multivariate dynamic models, conditional correlations, stationarity, DCC
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granularity adjustments (GA), value-at-risk (VaR), counterparty risk, market risk, elliptical distributions.
asset-backed securities, top-down models, default risk, prepayment
