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Empirical likelihood for value-at-risk and expected shortfall
Baysal, Rafet Evren; Staum, Jeremy - In: Journal of risk 11 (2008/09) 1, pp. 3-32
Persistent link: https://www.econbiz.de/10003775644
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Estimation and decomposition of downside risk for portfolios with non-normal returns
Boudt, Kris; Peterson, Brian; Croux, Christophe - In: Journal of risk 11 (2008/09) 2, pp. 79-103
Persistent link: https://www.econbiz.de/10003809417
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Deriving the minimal amount of risk capital for property-liability insurance companies utilizing asset liability management
Schmautz, Matthias; Lampenius, Niklas - In: Journal of risk 15 (2012/13) 4, pp. 35-55
Persistent link: https://www.econbiz.de/10009771007
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Are real investment decisions based on risk-adjusted performance measures consistent with maximizing shareholder value?
Lampenius, Niklas - In: Journal of risk 15 (2012/13) 2, pp. 77-101
Persistent link: https://www.econbiz.de/10009692939
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Fully flexible extreme views
Meucci, Attilio; Ardia, David; Keel, Simon - In: Journal of risk 14 (2011/12) 2, pp. 39-49
Persistent link: https://www.econbiz.de/10009422362
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Comparing risk measures when aggregating market risk and credit risk using different copulas
Maciag, Jakob; Hesse, Frederik; Boeve, Rolf; Pfingsten, … - In: Journal of risk 18 (2016) 5, pp. 101-136
Persistent link: https://www.econbiz.de/10011598393
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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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Modeling loss given default regressions
Li, Phillip; Zhang, Xiaofei; Zhao, Xinlei - In: Journal of risk 23 (2020/2021) 1, pp. 1-32
Persistent link: https://www.econbiz.de/10012500067
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Body and tail : an automated tail-detecting procedure
Hoffmann, Ingo; Börner, Christoph J. - In: Journal of risk 23 (2020/2021) 2, pp. 43-69
Persistent link: https://www.econbiz.de/10012500249