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Effective Number of Bets, PCA, Diversification Distribution, Marginal Risk Contributions, Procrustes Problem
portfolio choice, risk parity, diversification, concentration, principal component analysis
risk measure, Value at Risk, statistical estimation, robustness
Portfolio credit derivatives, collateralized debt obligation, inverse problem, local intensity, default intensity, expected tranche notionals, calibration, CDO tranche
Correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality
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correlation matrix, basket options, model calibration, inverse problems, Monte Carlo simulations, model uncertainty, Bayesian model averaging, convex duality
risk measures, robustness, loss-based risk measures, quantile estimation
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