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Backtesting expected shortfall : accounting for tail risk
Du, Zaichao; Escanciano, Juan Carlos - In: Management science : journal of the Institute for … 63 (2017) 4, pp. 940-958
Persistent link: https://www.econbiz.de/10011672768
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A view inside corporate risk management
Bodnar, Gordon M.; Giambona, Erasmo; Graham, John R.; … - In: Management science : journal of the Institute for … 65 (2019) 11, pp. 5001-5026
Persistent link: https://www.econbiz.de/10012125860
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Offsetting the implicit incentives : benefits of benchmarking in money management
Başak, Suleyman; Pavlova, Anna; Shapiro, Alex - In: Journal of banking & finance 32 (2008) 9, pp. 1883-1893
Persistent link: https://www.econbiz.de/10003774974
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A new measure of cross-sectional risk and its empirical implications for portfolio risk management
Galluccio, Stefano; Roncoroni, Andrea - In: Journal of banking & finance 30 (2006) 8, pp. 2387-2408
Persistent link: https://www.econbiz.de/10003355806
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Immunization using a stochastic-process independent multi-factor model: The Portuguese experience
Bravo, Jorge Miguel Ventura; Silva, Carlos Manuel Pereira da - In: Journal of banking & finance 30 (2006) 1, pp. 133-156
Persistent link: https://www.econbiz.de/10003285597
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Two-sided coherent risk measures and their application in realistic portfolio optimization
Chen, Zhiping; Wang, Yi - In: Journal of banking & finance 32 (2008) 12, pp. 2667-2673
Persistent link: https://www.econbiz.de/10003796150
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Proper conditioning for coherent VaR in portfolio management
Garcia, René; Renault, Éric; Tsafack, Georges - In: Management science : journal of the Institute for … 53 (2007) 3, pp. 483-494
Persistent link: https://www.econbiz.de/10003451621
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Risk factor contributions in portfolio credit risk models
Rosen, Dan; Saunders, David M. - In: Journal of banking & finance 34 (2010) 2, pp. 336-349
Persistent link: https://www.econbiz.de/10003935602
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Active portfolio management with benchmarking : a frontier based on alpha
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of banking & finance 34 (2010) 9, pp. 2185-2197
Persistent link: https://www.econbiz.de/10008737950
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Credit portfolios : what defines risk horizons and risk measurement?
Ebnöther, Silvan; Vanini, Paolo - In: Journal of banking & finance 31 (2007) 12, pp. 3663-3679
Persistent link: https://www.econbiz.de/10003604359