48 rue du Chateau Landon
in Total Papers Downloads
in Total Papers Citations
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 $38.00 .
File name: j-9965.
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
Cookies are used by this site. To decline or learn more, visit our Cookies page.
This page was processed by apollobot1 in 0.391 seconds