Measuring Volatility and Tail Dependence of Risk Factors

Measuring Volatility and Tail Dependence of Risk Factors
Author: Georgy Kharlamov
Publisher:
Total Pages: 117
Release: 2012
Genre:
ISBN:


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Measuring Volatility and Tail Dependence of Risk Factors
Language: en
Pages: 117
Authors: Georgy Kharlamov
Categories:
Type: BOOK - Published: 2012 - Publisher:

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Measuring volatility and tail dependence of risk factors
Language: de
Pages: 117
Authors: Georgy Kharlamov
Categories:
Type: BOOK - Published: 2012 - Publisher:

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Measuring Systemic Risk
Language: en
Pages: 49
Authors: Wan-Chien Chiu
Categories:
Type: BOOK - Published: 2014 - Publisher:

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We model systemic risk by including a common factor exposure to market-wide shocks and an exposure to tail dependence effects arising from linkages among extrem
Quantifying Systemic Risk
Language: en
Pages: 286
Authors: Joseph G. Haubrich
Categories: Business & Economics
Type: BOOK - Published: 2013-01-24 - Publisher: University of Chicago Press

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In the aftermath of the recent financial crisis, the federal government has pursued significant regulatory reforms, including proposals to measure and monitor s
Extreme Correlation of International Equity Markets
Language: en
Pages: 44
Authors: François M. Longin
Categories: International finance
Type: BOOK - Published: 2000 - Publisher:

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