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Korean Journal of Financial Studies 2005;34(2):123-152.
Published online May 31, 2005.
Optimal Bond Portfolio under the BIS Rule and Optimization of Credit Risk
Myung Jig Kim, Soon Jae Park
BIS기준과 신용위험을 고려한 최적 채권포트폴리오
김명직, 박순재
Key Words: 시뮬레이션기반 최적자산배분,신용포트폴리오,전술적 자산배분,조건부 VaR,Conditional Value at Risk,Credit Portfolio,CVaR,Simulation based optimal asset allocation,Tactical asset allocation,t-Copula 함수,t-Copula function
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