Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework-Reference-Cited by-同舟云学术

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Measuring Sectoral Diversification in an Asymptotic Multi-Factor Framework

Published:2006 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Tasche Dirk

Publisher

Elsevier BV

Reference28 articles.

1. On the coherence of Expected Shortfall;C Acerbi;Journal of Banking and Finance,2002

2. Coherent Measures of Risk;P Artzner;Mathematical Finance,1999

3. Basel II: International Convergence of Capital Measurement and Capital Standards: a Revised Framework -Comprehensive Version;Basel Committee on Banking Supervision (BCBS,2006

4. An Introduction to Credit Risk Modeling

Cited by 5 articles. 订阅此论文施引文献订阅此论文施引文献，注册后可以免费订阅5篇论文的施引文献，订阅后可以查看论文全部施引文献

1. Diversification and portfolio theory: a review;Financial Markets and Portfolio Management;2020-06-04

2. The Cost of a Free Lunch: Dabbling in Diversification;SSRN Electronic Journal;2015

3. Decomposing the Smile: Systematic Credit Risk in Mortgage Portfolios;SSRN Electronic Journal;2014

4. What is Portfolio Diversification?;SSRN Electronic Journal;2013

5. Dynamic Factor Analysis of Industry Sector Default Rates and Implication for Portfolio Credit Risk Modelling;SSRN Electronic Journal;2007

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