A credit risk model for large dimensional portfolios with application to economic capital
Article Abstract:
Application of heuristics for development of credit portfolio model to derive conditional value at risk, for measurement of value of economic capital at risk, is described.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Hedge fund portfolio construction: a comparison of static and dynamic approaches
Article Abstract:
The construction and risk assessment of hedge fund portfolios using covariance or correlation prediction models is discussed. The return on hedge funds is measured.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2007
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Analysis of criteria VaR and CVaR
Article Abstract:
A comparative analysis of value-at-risk and conditional value-at-risk concepts portfolio risk management is presented.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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