Narrow search
Showing 91 - 100 of 243
Cover Image
A one-factor copula-based model for credit portfolios
Kolman, Marek - In: Journal of risk 17 (2014/15) 2, pp. 93-132
Persistent link: https://www.econbiz.de/10010476247
Cover Image
The relationship between credit default swap spreads and equity prices
Marzano, Michele; Dunn, Gary; Constantinou, Nick - In: Journal of risk 17 (2014/15) 1, pp. 3-28
Persistent link: https://www.econbiz.de/10010476254
Cover Image
Expansion methods applied to asset return distributions
Marumo, Kohei; Wolff, Rodney - In: Journal of risk 10 (2007/08) 2, pp. 3-24
Persistent link: https://www.econbiz.de/10003643647
Cover Image
The hidden risk of optimizing bond portfolios under VaR
Winker, Peter; Maringer, Dietmar G. - In: Journal of risk 9 (2006/07) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10003648357
Cover Image
Backtesting value-at-risk accuracy: a simple new test
Hurlin, Christophe; Tokpavi, Sessi - In: Journal of risk 9 (2006/07) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10003697509
Cover Image
Quality control of risk measures: backtesting VAR models
Pena, Victor H. de la; Rivera, Ricardo; Ruiz-Mata, Jesus - In: Journal of risk 9 (2006/07) 2, pp. 39-54
Persistent link: https://www.econbiz.de/10003697513
Cover Image
Value-at-risk and extreme value distributions for financial returns
Tolikas, Konstantinos - In: Journal of risk 10 (2007/08) 3, pp. 31-77
Persistent link: https://www.econbiz.de/10003698908
Cover Image
Evaluating value-at-risk measures in the presence of long memory conditional volatility
Caporin, Massimiliano - In: Journal of risk 10 (2007/08) 3, pp. 79-110
Persistent link: https://www.econbiz.de/10003698909
Cover Image
Algorithms for handling CVaR constraints in dynamic stochastic programming models with applications for finance
Fábián, Csaba I.; Veszprémi, Anna - In: Journal of risk 10 (2007/08) 3, pp. 111-131
Persistent link: https://www.econbiz.de/10003698911
Cover Image
Efficient execution in the secondary mortgage market : a stochastic optimization model using CVaR constraints
Wang, Chung-Jui; Uryasev, Stan - In: Journal of risk 10 (2007/08) 1, pp. 41-66
Persistent link: https://www.econbiz.de/10003572494