Dynamic risk measure

Results: 12



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11Mathematical finance / United States housing bubble / Markov chain / Collateralized debt obligation / Lambda calculus / Risk-neutral measure / Financial Correlations / Financial economics / Finance / Investment

DYNAMIC CREDIT CORRELATION MODELING C. ALBANESE, O. CHEN, A. DALESSANDRO, AND A. VIDLER Abstract. As the market for credit baskets and single tranche bespoke CDOs keeps growing very rapidly, we witness a lively debate ab

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Source URL: www.albanese.co.uk

Language: English - Date: 2014-03-17 15:14:17
12Applied mathematics / Mathematical sciences / Coherent risk measure / Risk measure / Expected shortfall / Dynamic risk measure / Variance / Expected value / Time consistency / Financial risk / Mathematical finance / Statistics

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Source URL: www.princeton.edu

Language: English - Date: 2008-11-12 13:13:32
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