Riccardo Rebonato

Independent

SCHOLARLY PAPERS

2

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1

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9

Scholarly Papers (2)

1.

The Most General Methodology to Create a Valid Correlation Matrix for Risk Management and Option Pricing Purposes

Number of pages: 12 Posted: 10 Dec 2011
Riccardo Rebonato and Peter Jaeckel
Independent and affiliation not provided to SSRN
Downloads 2,435 (6,919)
Citation 24

Abstract:

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Covariance, correlation, robustness

2.

Coherent Asset Allocation and Diversification in the Presence of Stress Events

Journal of Investment Management (JOIM), Fourth Quarter 2012
Posted: 20 May 2013
Riccardo Rebonato and Alexander Denev
Independent and University of Oxford

Abstract:

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Asset allocation, Bayesian Nets, causality, stress, portfolio optimization, extreme events