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Recent advances in credit risk management
Cowell, Frances; Racheva, Borjana; Trück, Stefan - In: Risk assessment : decisions in banking and finance, (pp. 215-234). 2008
Persistent link: https://www.econbiz.de/10003781668
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A new tempered stable distribution and its application to finance
Kim, Young Shin; Račev, Svetlozar T.; Bianchi, Michele … - In: Risk assessment : decisions in banking and finance, (pp. 77-109). 2008
Persistent link: https://www.econbiz.de/10003781614
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Estimation of α-stable sub-gaussian distributions for asset returns
Kring, Sebastian; Račev, Svetlozar T.; Höchstötter, … - In: Risk assessment : decisions in banking and finance, (pp. 111-152). 2008
Persistent link: https://www.econbiz.de/10003781627
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Stable ETL optimal portfolios and extreme risk management
Račev, Svetlozar T.; Martin, R. Douglas; Racheva, Borjana - In: Risk assessment : decisions in banking and finance, (pp. 235-262). 2008
Persistent link: https://www.econbiz.de/10003781774
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Pricing tranches of a CDO and a CDS index : recent advances and furture research
Wang, Dezhong; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Risk assessment : decisions in banking and finance, (pp. 263-286). 2008
Persistent link: https://www.econbiz.de/10003781791
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The proper use of risk measures in portfolio theory
Ortobelli, Sergio; Račev, Svetlozar T.; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 8 (2005) 8, pp. 1107-1133
Persistent link: https://www.econbiz.de/10003280039
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Barrier option pricing by branching processes
Mitov, Georgi K.; Račev, Svetlozar T.; Kim, Young Shin; … - In: International journal of theoretical and applied finance 12 (2009) 7, pp. 1055-1073
Persistent link: https://www.econbiz.de/10003928804
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Desirable properties of an ideal risk measure in portfolio theory
Račev, Svetlozar T.; Ortobelli, Sergio; Stoyanov, Stoyan; … - In: International journal of theoretical and applied finance 11 (2008) 1, pp. 19-54
Persistent link: https://www.econbiz.de/10003692723
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Multivariate heavy-tailed models for value-at-risk estimation
Marinelli, Carlo; D'Addona, Stefano; Račev, Svetlozar T. - In: International journal of theoretical and applied finance 15 (2012) 4, pp. 1-32
Persistent link: https://www.econbiz.de/10009624462
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Metrization of stochastic dominance rules
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: International journal of theoretical and applied finance 15 (2012) 2, pp. 1-22
Persistent link: https://www.econbiz.de/10009624503