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