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~isPartOf:"Documentos de Trabajo del ICAE"
~person:"Berger, Allen N."
~person:"McAleer, Michael"
~subject:"CVaR"
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Search: ("Crisis management" OR "Financial crisis" OR "Financial markets" OR "Fiscal stimulus" OR "Neoliberalism" OR "Regulation" OR "Regulatory policies" OR "USA") AND NOT isPartOf:Intereconomics
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CVaR
daily capital charges
7
optimizing strategy
7
Value-at-Risk (VaR)
6
violation penalties
6
Basel II Accord
4
Median strategy
3
aggressive risk management
3
conservative risk management
3
global financial crisis
3
risk forecasts
3
robust forecasts
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value-at-risk
3
BEKK
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Basel Accord
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Cholesky-GARCH
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Credit risk
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Downside Risk
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Markowitz Analaysis
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Quantiles
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Risk management
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Stochastic dominance
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Sub-prime crisis
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VIX
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VIX futures
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Value-at-Risk
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Volatility
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Volatility spillovers
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aggressive or conservative risk management strategies
2
asymmetry
2
exchange rates
2
global financial crisis (GFC)
2
leverage
2
: Hausman test
1
Adjustments
1
Aggressive risk management
1
Aggressive risk strategy
1
Asian financial crisis
1
Asymmetric volatility
1
Asymmetry
1
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Berger, Allen N.
McAleer, Michael
Allen, David Edmund
2
Singh, Abhay K.
2
Peiris, Shelton
1
Powell, Robert J.
1
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Facultad de Ciencias Económicas y Empresariales, Universidad Complutense de Madrid
2
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Documentos de Trabajo del ICAE
Discussion paper / Tinbergen Institute
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Tinbergen Institute Discussion Paper
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Working Papers in Economics
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Journal of Risk and Financial Management
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Journal of risk and financial management : JRFM
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RePEc
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European Market Portfolio Diversification Strategies across the GFC
Allen, David Edmund
;
McAleer, Michael
;
Powell, Robert J.
; …
-
Facultad de Ciencias Económicas y Empresariales, …
-
2014
both the Global
Financial
Crisis
(GFC) and subsequent European Debt Crisis (EDC), is challenging one for the application of …
Persistent link: https://www.econbiz.de/10011079165
Saved in:
2
Hedge Fund Portfolio Diversification Strategies Across the GFC
Allen, David Edmund
;
McAleer, Michael
;
Peiris, Shelton
; …
-
Facultad de Ciencias Económicas y Empresariales, …
-
2014
. The sample period, which incorporates both the Global
Financial
Crisis
(GFC) and subsequent European Debt Crisis (EDC), is …
Persistent link: https://www.econbiz.de/10011099461
Saved in:
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