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Risk measures and the impact of asset price bubbles
Jarrow, Robert A.; Silva, Felipe Bastos Gurgel - In: Journal of risk 17 (2014/15) 3, pp. 35-56
Persistent link: https://www.econbiz.de/10011298886
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Shortfall deviation risk : an alternative for risk measurement
Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116
Persistent link: https://www.econbiz.de/10013177086
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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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An examination of the tail contribution to distortion risk measures
Santolino, Miguel; Belles-Sampera, James; Sarabia … - In: Journal of risk 23 (2021) 6, pp. 95-119
Persistent link: https://www.econbiz.de/10013473149
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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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What is the best risk measure in practice? : a comparsion of standard measures
Emmer, Susanne; Kratz, Marie; Tasche, Dirk - In: Journal of risk 18 (2015/2016) 2, pp. 31-60
Persistent link: https://www.econbiz.de/10011438976
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A numerical approach to the risk capital allocation problem
Gzyl, Henryk; Mayoral, Silvia - In: Journal of risk 23 (2021) 5, pp. 55-78
Persistent link: https://www.econbiz.de/10012630870
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From log-optimal portfolio theory to risk measures : logarithmic expected shortfall
Arici, G.; Dalai, M.; Leonardi, Roberto - In: Journal of risk 22 (2019) 2, pp. 37-58
Persistent link: https://www.econbiz.de/10013177108
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Modified expected shortfall : a new robust coherent risk measure
Jadhav, Deepak; Ramanathan, T. V.; Naik-Nimbalkar, Uttara - In: Journal of risk 16 (2013/2014) 1, pp. 69-83
Persistent link: https://www.econbiz.de/10013262918
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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