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The VAR Implementation Handbook, Chapter 13: Value at Risk for High-Dimensional Portfolios: A Dynamic Grouped t-Copula Approach-

  • Title: The VAR Implementation Handbook, Chapter 13: Value at Risk for High-Dimensional Portfolios: A Dynamic Grouped t-Copula Approach
  • Author:
  • Released: 2009-02-19
  • Language:
  • Pages: 31
  • ISBN:
  • ISBN13:
  • ASIN: B0033R0NCC

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The following is a chapter from  The VaR Implementation Handbook, which examines the latest strategies for measuring, managing, and modeling risk across a variety of applications. Packed with the insights, methods, and models that make experienced professionals competitive all over the world, this comprehensive guide features cutting-edge research and findings from some of the industry's most respected academics, practitioners, and consultants. pdf
 
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