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~isPartOf:"Journal of banking & finance"
~person:"Alexander, Carol"
~person:"Faff, Robert W."
~person:"Gatzert, Nadine"
~subject:"Extreme value theory"
~subject:"Hedging"
~subject:"Market risk"
~subject:"Multivariate Verteilung"
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Extreme value theory
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Alexander, Carol
Faff, Robert W.
Gatzert, Nadine
Dark, Jonathan
2
Weiß, Gregor
2
Zhu, Wei
2
Adam, Tim René
1
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Journal of banking & finance
European journal of operational research : EJOR
2
Financial risk and financial risk management
1
Journal of economic behavior & organization : JEBO
1
The journal of risk finance : JRF
1
Tydskrif vir studies in ekonomie en ekonometrie : SEE
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ECONIS (ZBW)
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1
Developing a stress testing framework based on market risk models
Alexander, Carol
;
Sheedy, Elizabeth A.
- In:
Journal of banking & finance
32
(
2008
)
10
,
pp. 2220-2236
Persistent link: https://www.econbiz.de/10003778713
Saved in:
2
Model-free hedge ratios and scale-invariant models
Alexander, Carol
;
Nogueira, Leonardo M.
- In:
Journal of banking & finance
31
(
2007
)
6
,
pp. 1839-1861
Persistent link: https://www.econbiz.de/10003483512
Saved in:
3
Estimating the basis risk of index-linked hedging strategies using multivariate extreme value
theory
Kellner, Ralf
;
Gatzert, Nadine
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4353-4367
Persistent link: https://www.econbiz.de/10010247034
Saved in:
4
Canonical vine copulas in the context of modern portfolio management : are they worth it?
Low, Rand Kwong Yew
;
Alcock, Jamie
;
Faff, Robert W.
; …
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3085-3099
Persistent link: https://www.econbiz.de/10009777123
Saved in:
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