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On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810
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Efficient risk measures calculations for generalized CreditRisk+ models
Huang, Zhenzhen; Kwok, Yue-Kuen - In: International journal of theoretical and applied finance 24 (2021) 2, pp. 1-51
Persistent link: https://www.econbiz.de/10012650350
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Capital allocation for set-valued risk measures
Centrone, Francesca; Rosazza Gianin, Emanuela - In: International journal of theoretical and applied finance 23 (2020) 1, pp. 1-16
Persistent link: https://www.econbiz.de/10012270884
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Measuring model risk in financial risk management and pricing
Jokhadze, Valeriane; Schmidt, Wolfgang M. - In: International journal of theoretical and applied finance 23 (2020) 2, pp. 1-37
Persistent link: https://www.econbiz.de/10012270928
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Set-valued shortfall and divergence risk measures
Ararat, Çağin; Hamel, Andreas; Rudloff, Birgit - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-48
Persistent link: https://www.econbiz.de/10011733939
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Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10011733962