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Market risk calculation for private equity fund-of-funds
Henzler, Jörg; George, Constantine - In: Journal of risk management in financial institutions 11 (2017/2018) 4, pp. 328-360
Persistent link: https://www.econbiz.de/10011980279
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Bootstrap consistency and bias correction in the nonparametric estimation of risk measures of collective risks
Lauer, Alexandra; Zähle, Henryk - In: Insurance / Mathematics & economics 74 (2017), pp. 99-108
Persistent link: https://www.econbiz.de/10011712409
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Optimal investment under VaR-Regulation and Minimum Insurance
Chen, An; Nguyen, Thai; Stadje, Mitja - In: Insurance / Mathematics & economics 79 (2018), pp. 194-209
Persistent link: https://www.econbiz.de/10011825449
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Which eligible assets are compatible with comonotonic capital requirements?
Koch Medina, Pablo; Munari, Cosimo-Andrea; Svindland, Gregor - In: Insurance / Mathematics & economics 81 (2018), pp. 18-26
Persistent link: https://www.econbiz.de/10011904606
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Market risk forecasting for high dimensional portfolios via factor copulas with GAS dynamics
Bartels, Mariana; Ziegelmann, Flávio A. - In: Insurance / Mathematics & economics 70 (2016), pp. 66-79
Persistent link: https://www.econbiz.de/10011597172
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Probability equivalent level of Value at Risk and higher-order Expected Shortfalls
Barczy, Mátyás; Nedényi, Fanni K.; Sütő, László - In: Insurance / Mathematics & economics 108 (2023), pp. 107-128
Persistent link: https://www.econbiz.de/10013534514
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Avoiding zero probability events when computing value at risk contributions
Koike, Takaaki; Saporito, Yuri; Targino, Rodrigo - In: Insurance / Mathematics & economics 106 (2022), pp. 173-192
Persistent link: https://www.econbiz.de/10013380509
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Nonparametric estimation of operational value-at-risk (OpVaR)
Tursunalieva, Ainura; Silvapulla, Param - In: Insurance / Mathematics & economics 69 (2016), pp. 194-201
Persistent link: https://www.econbiz.de/10011530959
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Capital for concentrated credit portfolios
Kupiec, Paul H. - In: Journal of risk management in financial institutions 8 (2015) 4, pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
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A methodology for actively managing tail risks and uncertainties
Broeders, Dirk; Loman, Herwin; Toor, Joris van - In: Journal of risk management in financial institutions 12 (2018/2019) 1, pp. 44-56
Persistent link: https://www.econbiz.de/10012041835