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Imperial Library
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Index
Cover
Frontmatter
1. Market Risk
1. VaR in High Dimensional Systems-A Conditional Correlation Approach
2. Multivariate Volatility Models
3. Portfolio Selection with Spectral Risk Measures
4. Implementation of Local Stochastic Volatility Model in FX Derivatives
2. Credit Risk
5. Estimating Distance-to-Default with a Sector-Specific Liability Adjustment via Sequential Monte Carlo
6. Risk Measurement with Spectral Capital Allocation
7. Market Based Credit Rating and Its Applications
8. Using Public Information to Predict Corporate Default Risk
9. Stress Testing in Credit Portfolio Models
10. Penalized Independent Factor
11. Term Structure of Loss Cascades in Portfolio Securitisation
12. Credit Rating Score Analysis
3. Dynamics Risk Measurement
13. Copulae in High Dimensions: An Introduction
14. Measuring and Modeling Risk Using High-Frequency Data
15. Measuring Financial Risk in Energy Markets
16. Risk Analysis of Cryptocurrency as an Alternative Asset Class
17. Time Varying Quantile Lasso
18. Dynamic Topic Modelling for Cryptocurrency Community Forums
Erratum to: Copulae in High Dimensions: An Introduction
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