Tail Wags Dog? Time-varying Information Shares in the Bund Market
نویسندگان
چکیده
منابع مشابه
The Tail that Wags the Dog
Tails are of paramount importance in shaping the risk profile of portfolios with credit risk sensitive securities. In this context risk management tools require simulations that accurately capture the tails, and optimization models that limit tail effects. Ignoring the tails in the simulation or using inadequate optimization metrics can have significant effects and destroy portfolio efficiency....
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ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2003
ISSN: 1556-5068
DOI: 10.2139/ssrn.379400