Estimating a covariance matrix for market risk management and the case of credit default swaps
Work
Year: 2018
Type: article
Source: Quantitative Finance
Authors Richard Neuberg, Paul Glasserman
Institution Columbia University
Cites: 37
Cited by: 5
Related to: 10
FWCI: 1.097
Citation percentile (by year/subfield): 77.39
Subfield: Finance
Domain: Social Sciences
Sustainable Development Goal Partnerships for the goals
Open Access status: closed
Funders National Natural Science Foundation of China, National Natural Science Foundation of China, National Natural Science Foundation of China, Conselho Nacional de Desenvolvimento Científico e Tecnológico, National Research Foundation of Korea
Grant IDS 71471180, 71721001,71471180, 71721001, 303688/2016-5, NRF-2017R1A2B4003226.