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Portfolio selection
570
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Baptista, Alexandre M.
7
Alexander, Gordon J.
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Fabozzi, Frank J.
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Branger, Nicole
5
Levy, Haim
5
Munk, Claus
5
Pérignon, Christophe
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Zenios, Stauros Andrea
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An, Yunbi
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Daníelsson, Jón
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Kraft, Holger
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Levy, Moshe
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Paterlini, Sandra
4
Račev, Svetlozar T.
4
Skiadopoulos, George
4
Uryasev, Stan
4
Balbás de la Corte, Alejandro
3
Bali, Turan G.
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Brandtner, Mario
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Breuer, Thomas
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Brunetti, Marianna
3
Chou, Pin-huang
3
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Drew, Michael E.
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Faff, Robert W.
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Fedenia, Mark
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Gouriéroux, Christian
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Kwan, Clarence C. Y.
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3
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Moreno, Manuel
3
Phillips, Blake
3
Post, Thierry
3
Prisman, Eliezer Zeev
3
Rockafellar, Ralph Tyrrell
3
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Seminar on Statistical and Computational Problems in Risk Management: VaR and Beyond VaR <2001, Rom>
1
Università degli studi di Roma "La Sapienza"
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Journal of banking & finance
NBER working paper series
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Insurance / Mathematics & economics
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480
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471
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International review of economics & finance : IREF
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ECONIS (ZBW)
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1
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
Saved in:
2
Multinomial VaR backtests : a simple implicit approach to backtesting expected shortfall
Kratz, Marie
;
Lok, Yen H.
;
McNeil, Alexander J.
- In:
Journal of banking & finance
88
(
2018
),
pp. 393-407
Persistent link: https://www.econbiz.de/10011962940
Saved in:
3
Systemic risk measurement : multivariate GARCH estimation of CoVaR
Girardi, Giulio
;
Ergün, Tolga A.
- In:
Journal of banking & finance
37
(
2013
)
8
,
pp. 3169-3180
Persistent link: https://www.econbiz.de/10009778470
Saved in:
4
Nonlinear portfolio selection using approximate parametric Value-at-RiskOriginal
Cui, Xueting
;
Zhu, Shushang
;
Sun, Xiaoling
;
Li, Duan
- In:
Journal of banking & finance
37
(
2013
)
6
,
pp. 2124-2139
Persistent link: https://www.econbiz.de/10009742471
Saved in:
5
Dynamic factor Value-at-Risk for large heteroskedastic portfolios
Aramonte, Sirio
;
Giudice Rodriguez, Marius del
;
Wu, Jason
- In:
Journal of banking & finance
37
(
2013
)
11
,
pp. 4299-4309
Persistent link: https://www.econbiz.de/10010247041
Saved in:
6
Unexpected tails in risk measurement : some international evidence
Tolikas, Konstantinos
- In:
Journal of banking & finance
40
(
2014
),
pp. 476-493
Persistent link: https://www.econbiz.de/10010404698
Saved in:
7
Aggregation of exponential smoothing processes with an application to portfolio risk evaluation
Sbrana, Giacomo
;
Silvestrini, Andrea
- In:
Journal of banking & finance
37
(
2013
)
5
,
pp. 1437-1450
Persistent link: https://www.econbiz.de/10009729085
Saved in:
8
Evaluating Value-at-Risk forecasts : a new set of multivariate backtests
Wied, Dominik
;
Weiß, Gregor
;
Ziggel, Daniel
- In:
Journal of banking & finance
72
(
2016
),
pp. 121-132
Persistent link: https://www.econbiz.de/10011635501
Saved in:
9
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
Saved in:
10
Size and value risk in financial firms
Baek, Seungho
;
Bilson, John F.
- In:
Journal of banking & finance
55
(
2015
),
pp. 295-326
Persistent link: https://www.econbiz.de/10011379102
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