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A spread-return mean-reverting model for credit spread dynamics
O'Donoghue, Brendan; Peacock, Matthew; Lee, Jacky; … - In: International journal of theoretical and applied finance 17 (2014) 3, pp. 1-14
Persistent link: https://www.econbiz.de/10010364761
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An improved approach to evaluate default probabilities and default correlations with consistency
Li, Weiping; Krehbiel, Timothy L. - In: International journal of theoretical and applied finance 19 (2016) 5, pp. 1-29
Persistent link: https://www.econbiz.de/10011525108
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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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Optimal investment in hedge funds under loss aversion
Zou, Bin - In: International journal of theoretical and applied finance 20 (2017) 3, pp. 1-32
Persistent link: https://www.econbiz.de/10011686964
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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 capital structure, risk sharing and capital adequacy in Islamic banks
Archer, Simon; Abdel Karim, Rifaat Ahmed - In: International journal of theoretical and applied finance 9 (2006) 3, pp. 269-280
Persistent link: https://www.econbiz.de/10003344272
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The relative risk performance of Islamic finance : a new guide to less risky investments
Al-Zoubi, Haitham A.; Maghyereh, Aktham I. - In: International journal of theoretical and applied finance 10 (2007) 2, pp. 235-249
Persistent link: https://www.econbiz.de/10003441952
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Particle methods for the estimation of credit portfolio loss distributions
Carmona, René; Crépey, Stéphane - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 577-602
Persistent link: https://www.econbiz.de/10008905024
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Long-term risk management for utility companies : the next challenges
Ai͏̈d, René - In: International journal of theoretical and applied finance 13 (2010) 4, pp. 517-535
Persistent link: https://www.econbiz.de/10008905032
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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