9 search results - page 2 / 2 » Financial risk measurement with imprecise probabilities |
EOR
2010
13 years 9 months ago
2010
We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
OR
2002
Springer
13 years 8 months ago
2002
Springer
The paper presents an overview of financial applications of copulas. Copulas permit to represent joint distribution functions by splitting the marginal behavior, embedded in the ma...
IOR
2008
13 years 9 months ago
2008
We consider the risk of a portfolio comprised of loans, bonds, and financial instruments that are subject to possible default. In particular, we are interested in performance meas...
EUSFLAT
2001
13 years 10 months ago
2001
Standard financial techniques neglect extreme situations and regards large market shifts as too unlikely to matter. Such approach accounts for what occurs most of the time in the ...