Integrating market and credit risk: a simulation and optimisation perspective
Article Abstract:
A multistage stochastic programming model for integrating market and credit risk scenarios is presented.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Usage, Stochastic analysis, Financial markets
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Time-varying risk premia and the cross section of stock returns
Article Abstract:
Stock returns and its variance is analyzed by using time-varying risk premia method.
Publisher: Elsevier B.V.
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
Stocks, Stock prices
Publication Name: Journal of Banking & Finance
Subject: Business
ISSN: 0378-4266
Year: 2006
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Subjects list: Methods, United States, Analysis, Risk assessment
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