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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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Default risk charge : modeling framework for the "Basel" risk measure
Wilkens, Sascha; Pedescu, Mirela - In: Journal of risk 19 (2016/2017) 4, pp. 23-50
Persistent link: https://www.econbiz.de/10011710248
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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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Interaction of market and credit risk : an analysis of inter-risk correlation and risk aggregation
Böcker, Klaus; Hillebrand, Martin - In: Journal of risk 11 (2008/09) 4, pp. 3-29
Persistent link: https://www.econbiz.de/10003881601
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Integrating multi-market risk models
Shepard, Peter G. - In: Journal of risk 10 (2007/08) 2, pp. 25-45
Persistent link: https://www.econbiz.de/10003643650
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Backtesting risk methodologies from one day to one year
Zumbach, Gilles O. - In: Journal of risk 9 (2006/07) 2, pp. 55-91
Persistent link: https://www.econbiz.de/10003697566
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Backtesting market risk models in a standard normality framework
Dowd, Kevin - In: Journal of risk 9 (2006/07) 2, pp. 93-111
Persistent link: https://www.econbiz.de/10003697567
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A general framework for constructing bank risk data sets
Zhu, Xiaoqian; Lu, Wei; Wu, Dengsheng; Li, Jianping - In: Journal of risk 21 (2018/2019) 1, pp. 37-59
Persistent link: https://www.econbiz.de/10011980291
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Loss given default estimation : a two-stage model with classification tree-based boosting and support vector logistic regression
Tanoue, Yuta; Yamashita, Satoshi - In: Journal of risk 21 (2018/2019) 4, pp. 19-37
Persistent link: https://www.econbiz.de/10012059863
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Could holding multiple safe havens improve diversification in a portfolio? : the extended skew-t vine copula approach
Chang, Meng-Shiuh; Yuan, Jing; Xu, Jing - In: Journal of risk 21 (2018/2019) 4, pp. 61-91
Persistent link: https://www.econbiz.de/10012059925