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Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio
Risk Capital Decomposition for a Multivariate Dependent Gamma Portfolio Recently, there has been growing interest among insurance and investment experts to focus on the use of a tail conditional ...- Authors: Edward Furman, Zinoviy Landsman
- Date: Sep 2008
- Competency: External Forces & Industry Knowledge>Actuarial methods in business operations
- Topics: Finance & Investments>Portfolio management - Finance & Investments; Finance & Investments>Risk measurement - Finance & Investments