Basel II and the Risk Management of Basket Options with Time-Varying Correlations
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References listed on IDEAS
- Danielsson, Jon & Zigrand, Jean-Pierre, 2006.
"On time-scaling of risk and the square-root-of-time rule,"
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More about this item
- G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
- G21 - Financial Economics - - Financial Institutions and Services - - - Banks; Other Depository Institutions; Micro Finance Institutions; Mortgages
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