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Research literature, 1 records found
Research literature 1 records found  
1.
35 p, 584.3 KB Forecasting compositional risk allocations / Boonen, Tim. J. (University of Amsterdam) ; Guillén, Montserrat (Universitat de Barcelona. Riskcenter) ; Santolino, Miguel (Universitat de Barcelona. Riskcenter) ; Xarxa de Referència en Economia Aplicada (XREAP)
We analyse models for panel data that arise in risk allocation problems,when a given set of sources are the cause of an aggregate risk value. We focus on the modeling and forecasting of proportional contributions to risk. [...]
Xarxa de Referència en Economia Aplicada (XREAP) 2017 (XREAP ; 2017/04)  

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1 Boonen, Tim. J.
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