112 rue la Boetie
in Total Papers Downloads
in Total Papers Citations
Under construction: SSRN citations will be offline until July when we will launch a brand new and improved citations service, check here for more details.
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
This is a Wiley-Blackwell Publishing paper. Wiley-Blackwell Publishing charges $42.00 .
File name: j-9965.pdf
If you wish to purchase the right to make copies of this paper for distribution to others, please select the quantity.
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
This page was processed by aws-apollo1 in 0.281 seconds