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ECONIS (ZBW)
390
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1
How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
Saved in:
2
Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit
;
Hofer, Markus
;
Kandhai, Drona
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
Saved in:
3
An alternative nonparametric tail risk measure
Law, Keith K. F.
;
Li, Wai Keung
;
Yu, Philip L. H.
- In:
Quantitative finance
21
(
2021
)
4
,
pp. 685-696
Persistent link: https://www.econbiz.de/10012483847
Saved in:
4
Forward-looking portfolio selection with multivariate non-Gaussian models
Bianchi, Michele Leonardo
;
Tassinari, Gian Luca
- In:
Quantitative finance
20
(
2020
)
10
,
pp. 1645-1661
Persistent link: https://www.econbiz.de/10012295628
Saved in:
5
On the price of risk in a mean-risk optimization model
Dentcheva, Darinka
;
Stock, Gregory J.
- In:
Quantitative finance
18
(
2018
)
10
,
pp. 1699-1713
Persistent link: https://www.econbiz.de/10012261905
Saved in:
6
Quantification of risk in classical models of finance
Pichler, Alois
;
Schlotter, Ruben
- In:
Quantitative finance
22
(
2022
)
1
,
pp. 31-45
Persistent link: https://www.econbiz.de/10012872493
Saved in:
7
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
8
Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
Saved in:
9
Backtesting expected shortfall and beyond
Deng, Kaihua
;
Qiu, Jie
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
Saved in:
10
Reduction of estimation error impact in the risk parity strategiesv
Kim, Hyuksoo
;
Kim, Saejoon
- In:
Quantitative finance
21
(
2021
)
8
,
pp. 1351-1364
Persistent link: https://www.econbiz.de/10012608651
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