Modelling a portfolio of financial assets of several different types

Aas, Kjersti; Hobæk Haff, Ingrid

August 01, 2005

SAMBA

• Areas: Finance, insurance and power market
• Keywords: NIG, Skew Student's t, Generalised Hyperbolic distribution, Student's t copula, grouped t-copula
• Page(s): 53
• Name and number of project: Finansmarked
• Title: Modelling a portfolio of financial assets of several different types
• Author(s): Aas, Kjersti; Hobæk Haff, Ingrid
• Report number: SAMBA/24/05
• Published date: August 01, 2005