A new approach for scenario generation in Risk management

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Author
Ortega, Juan-Pablo
Pullirsch, Rainer
Teichmann, Josef
Wergieluk, Julian
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Date
2009-04-03
Type
    Working Paper
Publication status
published
External links
Journal / series
arXiv
Pages / Article No.
0904.0624
Publisher
Cornell University
Subject
Risk management; Stochastic (partial) dierential equation; Calibration; Historical simulation; Time series; Jump processes
Organisational unit
03845 - Teichmann, Josef / Teichmann, Josef  
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ETH Bibliography
yes
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