Managing Adverse Dependence for Portfolios of Collateral in Financial Infrastructures
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References listed on IDEAS
- Bouye, Eric & Durlleman, Valdo & Nikeghbali, Ashkan & Riboulet, Gaël & Roncalli, Thierry, 2000. "Copulas for finance," MPRA Paper 37359, University Library of Munich, Germany.
- Nicholas Chan & Mila Getmansky & Shane M. Haas & Andrew W. Lo, 2007. "Systemic Risk and Hedge Funds," NBER Chapters,in: The Risks of Financial Institutions, pages 235-338 National Bureau of Economic Research, Inc.
More about this item
KeywordsEconometric and statistical methods; Financial markets; Financial stability;
- G00 - Financial Economics - - General - - - General
- G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
- C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2007-04-09 (All new papers)
- NEP-CFN-2007-04-09 (Corporate Finance)
- NEP-RMG-2007-04-09 (Risk Management)
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