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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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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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Measuring long-term tail risk : evaluating the performance of the square-root-of-time rule
Wang, Jying-Nan; Du, Jiangze; Hsu, Yuan-Teng - In: Journal of empirical finance 47 (2018), pp. 120-138
Persistent link: https://www.econbiz.de/10012103480
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Portfolio optimization for heavy-tailed assets : Extreme Risk Index vs. Markowitz
Mainik, Georg; Mitov, Georgi; Rüschendorf, Ludger - In: Journal of empirical finance 32 (2015), pp. 115-134
Persistent link: https://www.econbiz.de/10011556804
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High-order moments and extreme value approach for value-at-risk
Lin, Chu-Hsiung; Changchien, Chang-Cheng; Kao, Tzu-Chuan; … - In: Journal of empirical finance 29 (2014), pp. 421-434
Persistent link: https://www.econbiz.de/10011300450
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Diagnosing the distribution of GARCH innovations
Sun, Pengfei; Chen Zhou - In: Journal of empirical finance 29 (2014), pp. 287-303
Persistent link: https://www.econbiz.de/10011300465
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Multiple risk measures for multivariate dynamic heavy-tailed models
Bernardi, Mauro; Maruotti, Antonello; Petrella, Lea - In: Journal of empirical finance 43 (2017), pp. 1-32
Persistent link: https://www.econbiz.de/10011817885
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Displaced relative changes in historical simulation : application to risk measures of interest rates with phases of negative rates
Fries, Christian; Nigbur, Tobias; Seeger, Norman - In: Journal of empirical finance 42 (2017), pp. 175-198
Persistent link: https://www.econbiz.de/10011808562
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CVA with wrong way risk : sensitivities, volatility and hedging
El Hajjaji, Omar; Subbotin, Alexander - In: International journal of theoretical and applied finance 18 (2015) 3, pp. 1-31
Persistent link: https://www.econbiz.de/10011403747