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Forecasting corporate defaults in the German stock market
Mertens, Richard Lennart; Poddig, Thorsten; Fieberg, … - In: Journal of risk 20 (2017/2018) 6, pp. 29-54
Persistent link: https://www.econbiz.de/10011962407
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Improved estimation methods for value-at-risk, expected shortfall and risk contributions with high precision
Muromachi, Yukio - In: Journal of risk 17 (2014/2015) 5, pp. 1-27
Persistent link: https://www.econbiz.de/10011438902
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Factor-risk-constrained mean-variance portfolio selection : formulation and global optimization solution approach
Zhu, Shushang; Cui, Xueting; Sun, Xiaoling; Li, Duan - In: Journal of risk 14 (2011/12) 2, pp. 51-89
Persistent link: https://www.econbiz.de/10009422361
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Copula parameter estimation : numerical considerations and implications for risk management
Weiß, Gregor - In: Journal of risk 13 (2010/11) 1, pp. 17-53
Persistent link: https://www.econbiz.de/10008699157
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Finite difference methods for estimating marginal risk contributions in asset management
Olschewsky, Michael; Lüdemann, Stefan; Poddig, Thorsten - In: Journal of risk 18 (2016) 5, pp. 63-99
Persistent link: https://www.econbiz.de/10011598391
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Estimation risk for value-at-risk and expected shortfall
Kabaila, Paul; Mainzer, Rheanna - In: Journal of risk 20 (2017/2018) 3, pp. 29-47
Persistent link: https://www.econbiz.de/10011847463
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Impact of D-Vine structure on risk estimation
Bolancé, Catalina; Alemany, Ramon; Padilla Barreto, … - In: Journal of risk 20 (2017/2018) 5, pp. 1-32
Persistent link: https://www.econbiz.de/10011914672
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Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio; Kwon, Roy H. - In: Quantitative finance 19 (2019) 3, pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
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How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark - In: Quantitative finance 19 (2019) 8, pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
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Centred expected shortfall (CES) : a traditional asset manager's view on decomposing downside investment risk
Kroon, Erik; Hacini, Mehdi-Vincent; Somefun, Koye - In: Quantitative finance 24 (2024) 1, pp. 83-104
Persistent link: https://www.econbiz.de/10014551942