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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
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On the impact of hidden trends for a compound poisson model with pareto-type claims
Grandits, Peter; Kainhofer, Reinhold; Temnov, Grigory - In: International journal of theoretical and applied finance 13 (2010) 6, pp. 959-978
Persistent link: https://www.econbiz.de/10008905099
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On the penalty function and on continuity properties of risk measures
Frittelli, Marco; Rosazza Gianin, Emanuela - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 163-185
Persistent link: https://www.econbiz.de/10008908375
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Composition of time-consistent dynamic monetary risk measures in discrete time
Cheridito, Patrick; Kupper, Michael - In: International journal of theoretical and applied finance 14 (2011) 1, pp. 137-162
Persistent link: https://www.econbiz.de/10008908381
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Optimal trade execution under geometric Brownian motion in the Almgren and Chriss framework
Gatheral, Jim; Schied, Alexander - In: International journal of theoretical and applied finance 14 (2011) 3, pp. 353-368
Persistent link: https://www.econbiz.de/10009154914
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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