CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS-Reference-Cited by-同舟云学术

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CORRELATION UNDER STRESS IN NORMAL VARIANCE MIXTURE MODELS

Published:2013-02-18 Issue:2 Volume:25 Page:426-456
ISSN:0960-1627
Container-title:Mathematical Finance
language:en
Short-container-title:Mathematical Finance

Author:

Kalkbrener Michael¹,Packham Natalie²

Affiliation:

1. Deutsche Bank AG

2. Frankfurt School of Finance & Management

Publisher

Wiley

Subject

Applied Mathematics,Economics and Econometrics,Social Sciences (miscellaneous),Finance,Accounting

Link

http://onlinelibrary.wiley.com/wol1/doi/10.1111/mafi.12029/fullpdf

Reference46 articles.

1. Acharya , V. L. Pedersen T. Philippon M. Richardson 2010 Measuring Systemic Risk

2. Adrian , T. M. Brunnermeier 2011

3. Developing a Stress Testing Framework Based on Market Risk Models;Alexander;J. Banking Finance,2008

4. International Asset Allocation with Regime Shifts;Ang;Rev. Financ. Stud.,2002

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1. Up- and down-correlations in normal variance mixture models;Statistics & Probability Letters;2024-02

2. Up- and Down-Correlations in Normal Variance Mixture Models;SSRN Electronic Journal;2023

3. Measuring systematic risk with neural network factor model;Physica A: Statistical Mechanics and its Applications;2020-03

4. Correlation extrapolated;Statistics & Probability Letters;2019-02

5. A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default;The Journal of Credit Risk;2017

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