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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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Evolution of firm size
Gonon, Lukas; Rogers, Leonard C. G. - In: International journal of theoretical and applied finance 17 (2014) 5, pp. 1-15
Persistent link: https://www.econbiz.de/10010437201
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The stress-dependent random walk
Gremm, Martin - In: International journal of theoretical and applied finance 18 (2015) 8, pp. 1-16
Persistent link: https://www.econbiz.de/10011419399
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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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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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Measuring the market risk of freight rates : a value-at-risk approach
Angelidis, Timotheos; Skiadopoulos, George - In: International journal of theoretical and applied finance 11 (2008) 5, pp. 447-469
Persistent link: https://www.econbiz.de/10003759935
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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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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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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