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A liquidation risk adjustment for value at risk and expected shortfall
Wagalath, Lakshithe; Zubelli, Jorge P. - In: International journal of theoretical and applied finance 21 (2018) 3, pp. 1-21
Persistent link: https://www.econbiz.de/10011889543
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On the calculation of risk measures using least-squares Monte Carlo
Benedetti, Giuseppe - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10011686897
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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Systemic risk and asymmetric responses in the financial industry
López-Espinosa, Germán; Moreno, Antonio; Rubia, Antonio; … - In: Journal of banking & finance 58 (2015), pp. 471-485
Persistent link: https://www.econbiz.de/10011544046
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Liquidity-adjusted Intraday Value at Risk modeling and risk management : an application to data from Deutsche Börse
Dionne, Georges; Pacurar, Maria; Zhou, Xiaozhou - In: Journal of banking & finance 59 (2015), pp. 202-219
Persistent link: https://www.econbiz.de/10011544444
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Fixing risk neutral risk measures
Stein, Harvey J. - In: International journal of theoretical and applied finance 19 (2016) 3, pp. 1-28
Persistent link: https://www.econbiz.de/10011523810
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The impact of non-interest income on bank risk in Australia
Williams, Barry - In: Journal of banking & finance 73 (2016), pp. 16-37
Persistent link: https://www.econbiz.de/10011635617
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Trading book and credit risk : how fundamental is the Basel review?
Laurent, Jean-Paul; Sestier, Michael; Thomas, Stéphane - In: Journal of banking & finance 73 (2016), pp. 211-223
Persistent link: https://www.econbiz.de/10011635717
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The economic value of controlling for large losses in portfolio selection
Dias, Alexandra - In: Journal of banking & finance 72 (2016), pp. 81-91
Persistent link: https://www.econbiz.de/10011637057
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Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408
Persistent link: https://www.econbiz.de/10010508674