Modelling risk in multi asset-class portfolios
Using a simulation based model, with the Black-Scholes framework for equity andThe LIBOR Market Model for interest rates, we study market risk in multi assetclassportfolios, with static and dynamic weighting. The risk measures consideredare Value-at-Risk and Expected-Tail-Loss. The theoretical found...
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| Format: | Others |
| Language: | English |
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Norges teknisk-naturvitenskapelige universitet, Institutt for matematiske fag
2010
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| Online Access: | http://urn.kb.se/resolve?urn=urn:nbn:no:ntnu:diva-14977 |