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Developing a stress testing framework based on market risk models
Alexander, Carol; Sheedy, Elizabeth A. - In: Journal of banking & finance 32 (2008) 10, pp. 2220-2236
Persistent link: https://www.econbiz.de/10003778713
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Model-free hedge ratios and scale-invariant models
Alexander, Carol; Nogueira, Leonardo M. - In: Journal of banking & finance 31 (2007) 6, pp. 1839-1861
Persistent link: https://www.econbiz.de/10003483512
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Volatility dynamics for the S&P 500 : further evidence from non-affine, multi-factor jump diffusions
Kaeck, Andreas; Alexander, Carol - In: Journal of banking & finance 36 (2012) 11, pp. 3110-3121
Persistent link: https://www.econbiz.de/10009672975
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Targeting Kollo skewness with random orthogonal matrix simulation
Alexander, Carol; Meng, Xiaochun; Wei, Wei - In: European journal of operational research : EJOR 299 (2022) 1, pp. 362-376
Persistent link: https://www.econbiz.de/10013206991
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A parsimonious parametric model for generating margin requirements for futures
Alexander, Carol; Kaeck, Andreas; Sumawong, Anannit - In: European journal of operational research : EJOR 273 (2019) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10011979406
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Hedging with automatic liquidation and leverage selection on bitcoin futures
Alexander, Carol; Deng, Jun; Zou, Bin - In: European journal of operational research : EJOR 306 (2023) 1, pp. 478-493
Persistent link: https://www.econbiz.de/10014278033