Risk Management of Stock Portfolios With Jumps at Exogenous Default Events
The paper discusses managing equity risk in stock portfolios with defaults, deriving formulas for loss distributions and applying them to Value-at-Risk calculations.
Featured in No. 13 on 24 Aug 2023 · 6 days after release · 0 citations today
- Released
- 18 Aug 2023
- First featured
- No. 13 · 24 Aug 2023
- Citations (Semantic Scholar)
- 0
- Influential citations
- 0
- Published in
- Not yet, as far as Semantic Scholar knows
- Shares when featured
- 7
- Identifier
- SSRN 4545190
Citations and venue from Semantic Scholar (ODC-BY), refreshed weekly. Summary: Quant Letter (CC BY 4.0).