1
-
2
of
2
results (0.45 seconds)
Sort By:
-
From Liquidity Crisis to Correlation Crisis, and the Need for ‘Quanls’ in ERM
processes with non-stationary increments and dynamic corre- lation models, with the goal to understand ... as suddenly as it appeared, and miss- ing this dynamic would lead to bad hedging strategies. Identifying ...- Authors: Stephane Loisel
- Date: Aug 2012
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations; Technical Skills & Analytical Problem Solving>Incorporate risk management
- Publication Name: Risk Management
- Topics: Enterprise Risk Management>Risk measurement - ERM; Enterprise Risk Management>Systematic risk; Modeling & Statistical Methods>Dynamic simulation models
-
From Liquidity Crisis to Correlation Crisis, and the Need for “Quanls” in ERM
processes with non-stationary increments and dynamic correlation models, with the goal to understand ... as suddenly as it appeared, and miss- ing this dynamic would lead to bad hedging strategies. Identifying ...- Authors: Stephane Loisel
- Date: Dec 2008
- Competency: External Forces & Industry Knowledge
- Publication Name: Risk Management
- Topics: Enterprise Risk Management