Narrow search
Showing 1 - 10 of 54
Cover Image
Comparing high-dimensional conditional covariance matrices : implications for portfolio selection
Moura, Guilherme Valle; Santos, André A. P.; Ruiz, Esther - In: Journal of banking & finance 118 (2020), pp. 1-13
Persistent link: https://www.econbiz.de/10012521005
Cover Image
The gradient allocation principle based on the higher moment risk measure
Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18
Persistent link: https://www.econbiz.de/10013530990
Cover Image
A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
Cover Image
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie; Lok, Yen H.; McNeil, Alexander J. - In: Journal of banking & finance 88 (2018), pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Cover Image
Expected Shortfall, spectral risk measures, and the aggravating effect of background risk, or: risk vulnerability and the problem of subadditivity
Brandtner, Mario - In: Journal of banking & finance 89 (2018), pp. 138-149
Persistent link: https://www.econbiz.de/10011963089
Cover Image
A clustering approach and a rule of thumb for risk aggregation
Di Lascio, F. Marta L.; Giammusso, Davide; Puccetti, … - In: Journal of banking & finance 96 (2018), pp. 236-248
Persistent link: https://www.econbiz.de/10011967212
Cover Image
Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84
Persistent link: https://www.econbiz.de/10011816823
Cover Image
Model risk of expected shortfall
Lazar, Emese; Zhang, Ning - In: Journal of banking & finance 105 (2019), pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
Cover Image
Trading book and credit risk : how fundamental is the Basel review?
Laurent, Jean-Paul; Sestier, Michael; Thomas, Stéphane - In: Journal of banking & finance 73 (2016), pp. 211-223
Persistent link: https://www.econbiz.de/10011635717
Cover Image
The economic value of controlling for large losses in portfolio selection
Dias, Alexandra - In: Journal of banking & finance 72 (2016), pp. 81-91
Persistent link: https://www.econbiz.de/10011637057