A hierarchical model of tail dependent asset returns for assessing portfolio credit risk
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References listed on IDEAS
- Carlo Acerbi & Dirk Tasche, 2001. "Expected Shortfall: a natural coherent alternative to Value at Risk," Papers cond-mat/0105191, arXiv.org.
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Cited by:
- Igor Halperin & Andrey Itkin, 2013. "USLV: Unspanned Stochastic Local Volatility Model," Papers 1301.4442, arXiv.org, revised Mar 2013.
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More about this item
Keywords
Portfolio Credit Risk; Stochastic Time Change; Brownian Subordination; Jumps; Tail Dependence; Hierarchical Dependence Structure;All these keywords.
JEL classification:
- C46 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Specific Distributions
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
NEP fields
This paper has been announced in the following NEP Reports:- NEP-CMP-2012-05-22 (Computational Economics)
- NEP-ECM-2012-05-22 (Econometrics)
- NEP-RMG-2012-05-22 (Risk Management)
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