Correlation risk, cross-market derivative products and portfolio performance*
نویسندگان
چکیده
منابع مشابه
Correlation Risk, Cross-Market Derivative Products, and Portfolio Performance
We consider portfolios whose returns depend on at least three variables and show the e ect of the correlation structure on the probabilities of the extreme outcomes of the portfolio return, using a multivariate binomial approximation. The portfolio risk is then managed by using derivatives. We illustrate this risk management both with simple options, whose payo depends upon only one of the unde...
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Asset correlation is a critical driver in modeling portfolio credit risk. Despite its importance, there have been few studies on the empirical relationship between asset correlation and subsequently realized default correlation, and portfolio credit risk. This three three-way relationship is the focus of our study using U.S. public firm default data from 1981 to 2006. We find the magnitude of d...
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Design of investment portfolios is the most important activity in the management of mutual funds, retirement and pension funds, bank and insurance portfolio management. Such problems involve, first, choosing individual firms, industries, or industry groups that are expected to display strong performance in a competitive market, thus, leading to successful investments in the future; second, it a...
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ارزش در معرض ریسک یکی از مهمترین معیارهای اندازه گیری ریسک در بنگاه های اقتصادی می باشد. برآورد دقیق ارزش در معرض ریسک موضوع بسیارمهمی می باشد و انحراف از آن می تواند موجب ورشکستگی و یا عدم تخصیص بهینه منابع یک بنگاه گردد. هدف اصلی این مطالعه بررسی کارایی روش copula-garch شرطی در برآورد ارزش در معرض ریسک پرتفویی متشکل از دو سهام می باشد و ارزش در معرض ریسک بدست آمده با روشهای سنتی برآورد ارزش د...
Risk Measurement With Integrated Market and Credit Portfolio Models
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ژورنال
عنوان ژورنال: European Financial Management
سال: 2006
ISSN: 1354-7798
DOI: 10.1111/j.1468-036x.1995.tb00011.x