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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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Portfolio risk forecasting
Braun, Valentin; Hackethal, Andreas - In: Journal of risk 16 (2013/2014) 1, pp. 35-68
Persistent link: https://www.econbiz.de/10013262566
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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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A gradual nonconvexification method for minimizing value-at-risk
Xi, Jiong; Coleman, Thomas F.; Li, Yuying; Tayal, Aditya - In: Journal of risk 16 (2013/2014) 3, pp. 23-47
Persistent link: https://www.econbiz.de/10013262924
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Conditional value-at-risk-based optimal partial hedging
Cong, Jianfa; Tan, Ken Seng; Wang, Chengguo - In: Journal of risk 16 (2013/2014) 3, pp. 49-83
Persistent link: https://www.econbiz.de/10013262926
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First- and second-order Greeks in the Heston model
Chan, Jiun Hong; Joshi, Mark S.; Zhu, Dan - In: Journal of risk 17 (2014/2015) 4, pp. 19-69
Persistent link: https://www.econbiz.de/10013262933
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The signalling properties of the shape of the credit default swap term structure
Castellanos, Jenny; Constantinou, Nick; Wing Lon Ng - In: Journal of risk 17 (2014/2015) 4, pp. 71-99
Persistent link: https://www.econbiz.de/10013262935
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Mergers and acquisitions : collar contracts
Chen, An; Hilpert, Christian - In: Journal of risk 17 (2014/2015) 4, pp. 101-133
Persistent link: https://www.econbiz.de/10013262936
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A simple normal inverse Gaussian-type approach to calculate value-at-risk based on realized moments
Lau, Christian - In: Journal of risk 17 (2014/2015) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10013262937