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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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Does the application of innovative internal models diminish regulatory capital?
Kalyvas, Lampros; Sfetsos, Athanasios - In: International journal of theoretical and applied finance 9 (2006) 2, pp. 217-226
Persistent link: https://www.econbiz.de/10003312726
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Theoretical sensitivity analysis for quantitative operational risk management
Kato, Takashi - In: International journal of theoretical and applied finance 20 (2017) 5, pp. 1-23
Persistent link: https://www.econbiz.de/10011733962
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Cluster-based extension of the generalized poisson loss dynamics and consistency with single names
Brigo, Damiano; Pallavicini, Andrea; Torresetti, Roberto - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 607-631
Persistent link: https://www.econbiz.de/10003503347
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On the term structure of loss distributions : a forward model approach
Sidenius, Jakob - In: International journal of theoretical and applied finance 10 (2007) 4, pp. 749-761
Persistent link: https://www.econbiz.de/10003503392
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Two-component extreme value distribution for Asia-Pacific stock index returns
Ané, Thierry - In: International journal of theoretical and applied finance 9 (2006) 5, pp. 643-671
Persistent link: https://www.econbiz.de/10003378957
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Value-at-risk and expected shortfall for linear portfolios with elliptically distributed risk factors
Kamdem, Jules Sadefo - In: International journal of theoretical and applied finance 8 (2005) 5, pp. 537-551
Persistent link: https://www.econbiz.de/10003058599
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Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
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Drawdown measures and return moments
Möller, Philipp M. - In: International journal of theoretical and applied finance 21 (2018) 7, pp. 1-42
Persistent link: https://www.econbiz.de/10011957033
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Dynamic probabilistic forecasting with uncertainty
Benth, Fred Espen; Kutrolli, Gleda; Stefani, Silvana - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-18
Persistent link: https://www.econbiz.de/10012807773