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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 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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A remark concerning Value-at-Risk
Novak, Serguei Y. - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 507-515
Persistent link: https://www.econbiz.de/10008905058
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The VAR at risk
Galichon, Alfred - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 503-506
Persistent link: https://www.econbiz.de/10008905066
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Allocating systemic risk in a regulatory perspective
Gouriéroux, Christian; Monfort, Alain - In: International journal of theoretical and applied finance 16 (2013) 7, pp. 1-20
Persistent link: https://www.econbiz.de/10010233265
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Vector-valued coherent risk measure processes
Tahar, Imen Ben; Lépinette, Emmanuel - In: International journal of theoretical and applied finance 17 (2014) 2, pp. 1-28
Persistent link: https://www.econbiz.de/10010363907
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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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Stress testing the resilience of financial networks
Amini, Hamed; Cont, Rama; Minca, Andreea - In: International journal of theoretical and applied finance 15 (2012) 1, pp. 1-20
Persistent link: https://www.econbiz.de/10009562144
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Regulatory capital modeling for credit risk
Rutkowski, Marek; Tarca, Silvio - In: International journal of theoretical and applied finance 18 (2015) 5, pp. 1-44
Persistent link: https://www.econbiz.de/10011403880
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Principal component value at risk
Brummelhuis, Raymond; Cordóba, Antonio; Quintanilla, Maite - In: International journal of theoretical and applied finance 3 (2000) 3, pp. 541-545
Persistent link: https://www.econbiz.de/10001524229