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The pernicious effects of contaminated data in risk management
Frésard, Laurent; Pérignon, Christophe; Wilhelmsson, … - In: Journal of banking & finance 35 (2011) 10, pp. 2569-2583
Persistent link: https://www.econbiz.de/10009273284
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The magnitude of a market crash can be predicted
Novak, S. Y.; Beirlant, Jan - In: Journal of banking & finance 30 (2006) 2, pp. 453-462
Persistent link: https://www.econbiz.de/10003291287
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Minimizing CVaR and VaR for a portfolio of derivatives
Alexander, S.; Coleman, T. F.; Li, Yuying - In: Journal of banking & finance 30 (2006) 2, pp. 583-605
Persistent link: https://www.econbiz.de/10003291325
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Applying CVaR for decentralized risk management of financial companies
Mulvey, John M.; Erkan, Hafize G. - In: Journal of banking & finance 30 (2006) 2, pp. 627-644
Persistent link: https://www.econbiz.de/10003291336
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On the significance of expected shortfall as a coherent risk measure
Inui, Koji; Kijima, Masaaki - In: Journal of banking & finance 29 (2005) 4, pp. 853-864
Persistent link: https://www.econbiz.de/10002600061
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Sensitivity analysis of VaR and expected shortfall for portfolios under netting agreements
Fermanian, Jean-David; Scaillet, Olivier - In: Journal of banking & finance 29 (2005) 4, pp. 927-958
Persistent link: https://www.econbiz.de/10002600391
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The choice of the distribution of asset returns : how extreme value theory can help?
Longin, François M. - In: Journal of banking & finance 29 (2005) 4, pp. 1017-1035
Persistent link: https://www.econbiz.de/10002601166
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A guide to choosing absolute bank capital requirements
Carey, Mark S. - In: Journal of banking & finance 26 (2002) 5, pp. 929-951
Persistent link: https://www.econbiz.de/10001665093
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Multidimensional risk and risk dependence
Polanski, Arnold; Stoja, Evarist; Zhang, Ren - In: Journal of banking & finance 37 (2013) 8, pp. 3286-3294
Persistent link: https://www.econbiz.de/10009782155
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Modelling extremal dependence for operational risk by a bipartite graph
Kley, Oliver; Klüppelberg, Claudia; Paterlini, Sandra - In: Journal of banking & finance 117 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012495775