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When uncertainty decouples expected and unexpected losses

Juselius, Mikael; Tarashev, Nikola A. - 2022

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Portfolio revision under mean-variance and mean-CVaR with transaction costs

Chen, Andrew H.; Fabozzi, Frank J.; Huang, Dashan - In: Review of quantitative finance and accounting 39 (2012) 4, pp. 509-526

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Returns transmission, value at risk, and diversification benefits in international REITs : evidence from the financial crisis

Lu, Chiuling; Tse, Yiuman; Williams, Michael - In: Review of quantitative finance and accounting 40 (2013) 2, pp. 293-318

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Tail risk in pension funds : an analysis using ARCH models and bilinear processes

Owadally, Iqbal - In: Review of quantitative finance and accounting 43 (2014) 2, pp. 301-331

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Alternative statistical distributions for estimating value-at-risk : theory and evidence

Lee, Cheng F.; Su, Jung-bin - In: Review of quantitative finance and accounting 39 (2012) 3, pp. 309-331

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An analysis of risk-based asset allocation and portfolio insurance strategies

Ho, Lan-chih; Cadle, John; Theobald, Michael - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 247-267

Persistent link: https://www.econbiz.de/10009272505

Sharing asymmetric tail risk: smoothing, asset pricing and terms of trade

Corsetti, Giancarlo; Lipińska, Anna; Lombardo, Giovanni - 2021

Persistent link: https://www.econbiz.de/10012620824

Diversification benefits of risk portfolio models : a case of Taiwan's stock market

Yu, Jing-Rung; Chiou, Wan-jiun Paul; Yang, Jian-Hong - In: Review of quantitative finance and accounting 48 (2017) 2, pp. 467-502

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Bank capital allocation under multiple constraints

Goel, Tirupam; Lewrick, Ulf; Tarashev, Nikola A. - 2017

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Higher bank capital requirements and mortgage pricing: evidence from the Countercyclical Capital Buffer (CCB)

Basten, Christoph; Koch, Cathérine - 2015

How has the CCB affected mortgage pricing after Switzerland became the first country to activate this Basel III macroprudential tool? By analyzing a database with several offers per mortgage request, we construct a picture of mortgage supply and demand. We find, first, that the CCB changes the...

Persistent link: https://www.econbiz.de/10011332839