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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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Optimal capital and risk allocations for law- and cash-invariant convex functions
Filipović, Damir; Svindland, Gregor - In: Finance and stochastics 12 (2008) 3, pp. 423-439
Persistent link: https://www.econbiz.de/10003899207
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Interacting particle systems for the computation of rare credit portfolio losses
Carmona, René; Fouque, Jean-Pierre; Vestal, Douglas - In: Finance and stochastics 13 (2009) 4, pp. 613-633
Persistent link: https://www.econbiz.de/10003899538
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Optimal risk sharing with non-monotone monetary functionals
Acciaio, Beatrice - In: Finance and stochastics 11 (2007) 2, pp. 267-289
Persistent link: https://www.econbiz.de/10003439763
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Dilatation monotone risk measures are law invariant
Cherny, Alexander S.; Grigoriev, Pavel G. - In: Finance and stochastics 11 (2007) 2, pp. 291-298
Persistent link: https://www.econbiz.de/10003439765
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On time-scaling of risk and the square-root-of-time rule
Daníelsson, Jón; Zigrand, Jean-Pierre - In: Journal of banking & finance 30 (2006) 10, pp. 2701-2713
Persistent link: https://www.econbiz.de/10003376422
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Employee well-being, firm leverage, and bankruptcy risk
Verwijmeren, Patrick; Derwall, Jeroen - In: Journal of banking & finance 34 (2010) 5, pp. 956-964
Persistent link: https://www.econbiz.de/10003971315
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Operational outages and aggregate uncertainty in the federal funds market
Klee, Elizabeth - In: Journal of banking & finance 34 (2010) 10, pp. 2386-2402
Persistent link: https://www.econbiz.de/10008858360
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Risk-neutral compatibility with option prices
Jacod, Jean; Protter, Philip E. - In: Finance and stochastics 14 (2010) 2, pp. 285-315
Persistent link: https://www.econbiz.de/10003951511
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On the empirics of international smoothing
Asdrubali, Pierfederico; Kim, So-yŏng - In: Journal of banking & finance 32 (2008) 3, pp. 374-381
Persistent link: https://www.econbiz.de/10003707742