Title :
Calibration of multivariate generalized hyperbolic distributions using the EM algorithm, with applications in risk management, portfolio optimization and portfolio credit risk.
Author :
Craig Nolder استاد مشاور , Alec Kercheval استاد راهنما , Bettye Case استاد مشاور
University :
Florida State University Electronic theses Fsu Browse
Major :
PhD )Mathematics, Department of(
Keyword :
Skewed t distribution , Basket credit default swaps , Generalized hyperbolic distributions , Portfolio credit risk , Portfolio optimization , Risk management , EM algorithm
