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Satisficing credibility for heterogeneous risks
Cheung, Ka Chun; Yam, Sheung Chi Phillip; Zhang, Yiying - In: European journal of operational research : EJOR 298 (2022) 2, pp. 752-768
Persistent link: https://www.econbiz.de/10013206896
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Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475
Persistent link: https://www.econbiz.de/10011436713
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Loss functions for Loss Given Default model comparison
Hurlin, Christophe; Leymarie, Jérémy; Patin, Antoine - In: European journal of operational research : EJOR 268 (2018) 1, pp. 348-360
Persistent link: https://www.econbiz.de/10011813102
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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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Submodularity and local search approaches for maximum capture problems under generalized extreme value models
Tien Thanh Dam; Thuy Anh Ta; Mai Tien - In: European journal of operational research : EJOR 300 (2022) 3, pp. 953-965
Persistent link: https://www.econbiz.de/10013207316
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A comparison of tail dependence estimators
Supper, Hendrik; Irresberger, Felix; Weiß, Gregor - In: European journal of operational research : EJOR 284 (2020) 2, pp. 728-742
Persistent link: https://www.econbiz.de/10012238789
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An improved method for forecasting spare parts demand using extreme value theory
Zhu, Sha; Dekker, Rommert; Jaarsveld, Willem van; … - In: European journal of operational research : EJOR 261 (2017) 1, pp. 169-181
Persistent link: https://www.econbiz.de/10011764109
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A robust approach based on conditional value-at-risk measure to statistical learning problems
Takeda, Akiko; Kanamori, Takafumi - In: European journal of operational research : EJOR 198 (2009) 1, pp. 287-296
Persistent link: https://www.econbiz.de/10003853605
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Extending pricing rules with general risk functions
Balbás de la Corte, Alejandro; Balbás, Raquel; … - In: European journal of operational research : EJOR 201 (2010) 1, pp. 23-33
Persistent link: https://www.econbiz.de/10003973521
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Efficient risk simulations for linear asset portfolios in the t-copula model
Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: European journal of operational research : EJOR 202 (2010) 3, pp. 802-809
Persistent link: https://www.econbiz.de/10003981022