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How Robust is the Value-at-Risk of Credit Risk Portfolios? · Study

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ArticleHow Robust is the Value-at-Risk of Credit Risk Portfolios?

Carole Bernard2015

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Articlegreen2015

How Robust is the Value-at-Risk of Credit Risk Portfolios?

Carole Bernard · Ludger Rüschendorf · Steven Vanduffel · Jing Yao

47 citations·0/0 files stored·European Journal of Finance

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Risk and Portfolio Optimization Financial Risk and Volatility Modeling Probability and Risk Models

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References

2000Optimization of conditional value-at-risk 2005Quantitative Risk Management: Concepts, Techniques, and Tools 2002Spectral measures of risk: A coherent representation of subjective risk aversion 2015Rule of Law and Constitutional Democracy 2000A comparative anatomy of credit risk models 1981Recursive Evaluation of a Family of Compound Distributions 2013Model uncertainty and VaR aggregation 2013Insurance: Mathematics and Economics

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2016VaR Bounds for Joint Portfolios with Dependence Constraints

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Year2015

Typearticle

Published2015-01-01

VenueEuropean Journal of Finance

ISSN-L1351-847X

Languageen

Citations47

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1080/1351847x.2015.1104370

openalex_workW3122567404

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