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Record link:
http://hdl.handle.net/20.500.12708/154278
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Title:
The accuracy of simple copula models in market risk estimates: A mixed asset portfolio approach
en
Citation:
Aussenegg, W., & Cech, C. (2022).
The accuracy of simple copula models in market risk estimates: A mixed asset portfolio approach
. http://hdl.handle.net/20.500.12708/154278
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Publication Type:
Report - Working Paper
en
Bericht - Working Paper
de
Language:
English
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Authors:
Aussenegg, Wolfgang
Cech, Christian
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Organisational Unit:
E330-04 - Forschungsbereich Finanzwirtschaft und Controlling
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Date (published):
11-Dec-2022
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Keywords:
Mixed asset portfolio risk, Financial correlation, Copula, Method-of-moments, Value-at-Risk
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Research Areas:
Mathematical Methods in Economics: 80%
Modeling and Simulation: 20%
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Science Branch:
1020 - Informatik: 20%
5020 - Wirtschaftswissenschaften: 70%
1010 - Mathematik: 10%
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Appears in Collections:
Report
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