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A new approach to assessing model risk in high dimensions
Bernard, Carole; Vanduffel, Steven - In: Journal of banking & finance 58 (2015), pp. 166-178
Persistent link: https://www.econbiz.de/10011543968
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Trading book and credit risk : how fundamental is the Basel review?
Laurent, Jean-Paul; Sestier, Michael; Thomas, Stéphane - In: Journal of banking & finance 73 (2016), pp. 211-223
Persistent link: https://www.econbiz.de/10011635717
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The economic value of controlling for large losses in portfolio selection
Dias, Alexandra - In: Journal of banking & finance 72 (2016), pp. 81-91
Persistent link: https://www.econbiz.de/10011637057
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Semiparametric estimation of multi-asset portfolio tail risk
Dias, Alexandra - In: Journal of banking & finance 49 (2014), pp. 398-408
Persistent link: https://www.econbiz.de/10010508674
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The limits of granularity adjustments
Fermanian, Jean-David - In: Journal of banking & finance 45 (2014), pp. 9-25
Persistent link: https://www.econbiz.de/10010466685
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Risk managing tail-risk seekers : VaR and expected shortfall vs S-shaped utility
Armstrong, John; Brigo, Damiano - In: Journal of banking & finance 101 (2019), pp. 122-135
Persistent link: https://www.econbiz.de/10012162636
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Expected shortfall and portfolio management in contagious markets
Buccioli, Alice; Kokholm, Thomas; Nicolosi, Marco - In: Journal of banking & finance 102 (2019), pp. 100-115
Persistent link: https://www.econbiz.de/10012162736
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Model risk of expected shortfall
Lazar, Emese; Zhang, Ning - In: Journal of banking & finance 105 (2019), pp. 74-93
Persistent link: https://www.econbiz.de/10012163809
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Risk evaluations with robust approximate factor models
Chou, Ray Yeutien; Yen, Tso-Jung; Yen, Yu-min - In: Journal of banking & finance 82 (2017), pp. 244-264
Persistent link: https://www.econbiz.de/10011816816
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Gini-type measures of risk and variability : gini shortfall, capital allocations, and heavy-tailed risks
Furman, Edward; Wang, Ruodu; Zitikis, Ričardas - In: Journal of banking & finance 83 (2017), pp. 70-84
Persistent link: https://www.econbiz.de/10011816823