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Bounds for functions of dependent risks
Embrechts, Paul; Puccetti, Giovanni - In: Finance and stochastics 10 (2006) 3, pp. 341-352
Persistent link: https://www.econbiz.de/10003380013
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Aggregation-robustness and model uncertainty of regulatory risk measures
Embrechts, Paul; Wang, Bin; Wang, Ruodu - In: Finance and stochastics 19 (2015) 4, pp. 763-790
Persistent link: https://www.econbiz.de/10011420503
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - In: Finance and stochastics 18 (2014) 1, pp. 145-173
Persistent link: https://www.econbiz.de/10010235455
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Generalized deviations in risk analysis
Rockafellar, Ralph Tyrrell; Uryasev, Stan; Zabarankin, … - In: Finance and stochastics 10 (2006) 1, pp. 51-74
Persistent link: https://www.econbiz.de/10003234949
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Worst case model risk management
Talay, Denis; Zheng, Ziyu - In: Finance and stochastics 6 (2002) 4, pp. 517-537
Persistent link: https://www.econbiz.de/10001702790
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Using copulae to bound the Value-at-Risk for functions of dependent risks
Embrechts, Paul; Höing, Andrea; Juri, Alessandro - In: Finance and stochastics 7 (2003) 2, pp. 145-167
Persistent link: https://www.econbiz.de/10001762730
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Machine learning with kernels for portfolio valuation and risk management
Boudabsa, Lotfi; Filipović, Damir - In: Finance and stochastics 26 (2022) 2, pp. 131-172
Persistent link: https://www.econbiz.de/10013197507
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Scenario-based risk evaluation
Wang, Ruodu; Ziegel, Johanna F. - In: Finance and stochastics 25 (2021) 4, pp. 725-756
Persistent link: https://www.econbiz.de/10012665201
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Hedging under multiple risk constraints
Jiao, Ying; Klopfenstein, Olivier; Tankov, Peter - In: Finance and stochastics 21 (2017) 2, pp. 361-396
Persistent link: https://www.econbiz.de/10011944382
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Risk bounds for factor models
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: Finance and stochastics 21 (2017) 3, pp. 631-659
Persistent link: https://www.econbiz.de/10011944414