Risk management of stock portfolios with jumps at exogenous default events
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- Herbertsson, Alexander & Jang, Jiwook & Schmidt, Thorsten, 2011. "Pricing basket default swaps in a tractable shot noise model," Statistics & Probability Letters, Elsevier, vol. 81(8), pages 1196-1207, August.
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More about this item
Keywords
equity portfolio risk; stock price modelling; credit portfolio risk; risk management; Value-at-Risk; intensity-based models; credit copula models; numerical methods;All these keywords.
JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill
- G33 - Financial Economics - - Corporate Finance and Governance - - - Bankruptcy; Liquidation
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BAN-2023-09-25 (Banking)
- NEP-RMG-2023-09-25 (Risk Management)
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