A credit risk model for large dimensional portfolios with application to economic capital

Article Abstract:

Application of heuristics for development of credit portfolio model to derive conditional value at risk, for measurement of value of economic capital at risk, is described.

Author: Nystrm, Kaj, Skoglund, Jimmy
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Sweden, Evaluation, Capital, Heuristic programming

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Hedge fund portfolio construction: a comparison of static and dynamic approaches

Article Abstract:

The construction and risk assessment of hedge fund portfolios using covariance or correlation prediction models is discussed. The return on hedge funds is measured.

Author: Giamouridis, Daniel, Vrontos, Ioannis D.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2007
United Kingdom, Greece, Capital funds & cash flow, Economic aspects, Measurement, Valuation, Hedge funds, Return on investment, Rate of return

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Analysis of criteria VaR and CVaR

Article Abstract:

A comparative analysis of value-at-risk and conditional value-at-risk concepts portfolio risk management is presented.

Author: Kibzun, Andrey I., Kuznetsov, Evgeniy A.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
United States, Comparative analysis

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Subjects list: Models, Usage, Risk assessment, Statistical methods
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