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Robust optimization of conditional value at risk and portfolio selection
Quaranta, Anna Grazia; Zaffaroni, Alberto - In: Journal of banking & finance 32 (2008) 10, pp. 2046-2056
Persistent link: https://www.econbiz.de/10003778582
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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
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Unconditional return disturbances: A non-parametric simulation approach
Tompkins, Robert G.; D'Ecclesia, Rita L. - In: Journal of banking & finance 30 (2006) 1, pp. 287-314
Persistent link: https://www.econbiz.de/10003285633
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Common risk factors in bank stocks
Viale, Ariel M.; Kolari, James W.; Fraser, Donald R. - In: Journal of banking & finance 33 (2009) 3, pp. 464-472
Persistent link: https://www.econbiz.de/10003807630
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Explaining international stock correlations with CPI fluctuations and market volatility
Cai, Yijie; Chou, Ray Yeutien; Li, Dan - In: Journal of banking & finance 33 (2009) 11, pp. 2026-2035
Persistent link: https://www.econbiz.de/10003892191
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Cyclicality in catastrophic and operational risk measurements
Allen, Linda; Bali, Turan G. - In: Journal of banking & finance 31 (2007) 4, pp. 1191-1235
Persistent link: https://www.econbiz.de/10003459180
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Bubbles in the dividend-price ratio? : evidence from an asymmetric exponential smooth-transition model
McMillan, David G. - In: Journal of banking & finance 31 (2007) 3, pp. 787-804
Persistent link: https://www.econbiz.de/10003429782
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On time-scaling of risk and the square-root-of-time rule
Daníelsson, Jón; Zigrand, Jean-Pierre - In: Journal of banking & finance 30 (2006) 10, pp. 2701-2713
Persistent link: https://www.econbiz.de/10003376422
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Estimating financial risk measures for options
Sorwar, Ghulam; Dowd, Kevin - In: Journal of banking & finance 34 (2010) 8, pp. 1982-1992
Persistent link: https://www.econbiz.de/10008665539
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Are price limits really bad for equity markets?
Deb, Saikat Sovan; Kalev, Petko S.; Marisetty, Vijaya B. - In: Journal of banking & finance 34 (2010) 10, pp. 2462-2471
Persistent link: https://www.econbiz.de/10008858317