منابع مشابه
Portfolio advice for a multifactor world
John H. Cochrane is the Sigmund E. Edelstone Professor of Finance in the Graduate School of Business at the University of Chicago, a consultant to the Federal Reserve Bank of Chicago, and a research associate at the National Bureau of Economic Research (NBER). The author thanks Andrea Eisfeldt for research assistance and David Marshall, John Campbell, and Robert Shiller for comments. The author...
متن کاملLarge Deviations in Multifactor Portfolio Credit Risk
The measurement of portfolio credit risk focuses on rare but significant large-loss events. This paper investigates rare event asymptotics for the loss distribution in the widely used Gaussian copula model of portfolio credit risk. We establish logarithmic limits for the tail of the loss distribution in two limiting regimes. The first limit examines the tail of the loss distribution at increasi...
متن کاملFast Simulation of Multifactor Portfolio Credit Risk
This paper develops rare event simulation methods for the estimation of portfolio credit risk — the risk of losses to a portfolio resulting from defaults of assets in the portfolio. Portfolio credit risk is measured through probabilities of large losses, which are typically due to defaults of many obligors (sources of credit risk) to which a portfolio is exposed. An essential element of a portf...
متن کاملReal-world datasets for portfolio selection and solutions of some stochastic dominance portfolio models
A large number of portfolio selection models have appeared in the literature since the pioneering work of Markowitz. However, even when computational and empirical results are described, they are often hard to replicate and compare due to the unavailability of the datasets used in the experiments. We provide here several datasets for portfolio selection generated using real-world price values f...
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2000
ISSN: 1556-5068
DOI: 10.2139/ssrn.218871