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The hidden risk of optimizing bond portfolios under VaR
Winker, Peter; Maringer, Dietmar G. - In: Journal of risk 9 (2006/07) 4, pp. 1-19
Persistent link: https://www.econbiz.de/10003648357
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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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A conditional approach for risk estimation
Mendes, Beatriz Vaz de Melo - In: Journal of risk 11 (2008/09) 1, pp. 33-55
Persistent link: https://www.econbiz.de/10003775645
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An estimation-free, robust conditional value-at-risk portfolio allocation model
Jabbour, Carlos; Peña, Javier F.; Vera, Juan C.; … - In: Journal of risk 11 (2008/09) 1, pp. 57-78
Persistent link: https://www.econbiz.de/10003775648
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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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Measure of financial risk using conditional extreme value copulas with EVT margins
Ghorbel, Ahmed; Trabelsi, Abdelwahed - In: Journal of risk 11 (2008/09) 4, pp. 51-85
Persistent link: https://www.econbiz.de/10003881605
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Kernel quantile-based estimation of expected shortfall
Yu, Keming; Ally, Abdallah K.; Yang, Shanchao; Hand, D. J. - In: Journal of risk 12 (2009/10) 4, pp. 15-32
Persistent link: https://www.econbiz.de/10003995401
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Long-short portfolio optimization in the presence of discrete asset choice constraints and two risk measures
Kumar, Ritesh; Mitra, Gautam; Roman, Diana - In: Journal of risk 13 (2010/11) 2, pp. 71-100
Persistent link: https://www.econbiz.de/10008807862
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A review of backtesting and backtesting procedures
Campbell, Sean D. - In: Journal of risk 9 (2006/07) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10003697504
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Backtesting value-at-risk accuracy: a simple new test
Hurlin, Christophe; Tokpavi, Sessi - In: Journal of risk 9 (2006/07) 2, pp. 19-37
Persistent link: https://www.econbiz.de/10003697509