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All Blog Posts Tagged 'fortis' (1)

The Copula AGAIN - Forecasting VaR and Expected Shortfall using Dynamical Systems

Forecasting VaR and Expected Shortfall using Dynamical Systems A Risk Management Strategy



Cyril Caillault; Chief Investor Officer, Quantitative Strategies,

Fixed Income and Currencies, Fortis Investments,



Dominique Guégan, PSE – CES-MSE - Université Paris 1 – Panthéon – Sorbonne



Abstract

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest…

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Added by John A Morrison on April 27, 2009 at 12:00pm — No Comments

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