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Straumann, Daniel’ AUTHOR PAGE
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E-Mail: daniel.straumann@riskmetrics.com
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Affiliation: RiskMetrics Group
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Developing an Equity Factor Model for Risk 2007
Straumann, Daniel
Garidi, Tarik
 
We distinguish between two modeling approaches for returns: the current RiskMetrics methodology, which we also call granular approach, and the equity ...
Correlation and Dependence in Risk Management: Properties and Pitfalls 1999
Embrechts, Paul
McNeil, Alexander
Straumann, Daniel
 
Modern risk management calls for an understanding of stochastic dependence going beyond simple linear correlation. This paper deals with the static (n...
Correlation: Pitfalls and Alternatives 1999
Embrechts, Paul
McNeil, Alexander
Straumann, Daniel
 
This article will tell you when it is safe and unproblematic to use correlation in the way that you imagine you can use it, and when you should take c...
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