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Modeling severity risk under PD-LGD correlation
Han, Chulwoo - In: The European journal of finance 23 (2017) 13/15, pp. 1572-1588
Persistent link: https://www.econbiz.de/10012014695
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Value-at-risk capital requirement regulation, risk taking and asset allocation : a mean–variance analysis
Kaplanski, Guy; Levy, Haim - In: The European journal of finance 21 (2015) 1/3, pp. 215-241
Persistent link: https://www.econbiz.de/10010519956
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A new multi-factor risk model to evaluate funding liquidity risk of banks
Fall, Malick; Viviani, Jean-Laurent - In: The European journal of finance 22 (2016) 10/12, pp. 985-1003
Persistent link: https://www.econbiz.de/10011715289
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Forecasting market risk of portfolios: copula-Markov switching multifractal approach
Segnon, Mawuli; Trede, Mark - In: The European journal of finance 24 (2018) 14, pp. 1123-1143
Persistent link: https://www.econbiz.de/10012258877
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Estimating the joint tail risk under the filtered historical simulation : an application to the CCP's default and waterfall fund
Barone-Adesi, Giovanni; Giannopoulos, Kostas; Vosper, Les - In: The European journal of finance 24 (2018) 4/6, pp. 413-425
Persistent link: https://www.econbiz.de/10012244329
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Backtesting lambda value at risk
Corbetta, Jacopo; Peri, Ilaria - In: The European journal of finance 24 (2018) 13, pp. 1075-1087
Persistent link: https://www.econbiz.de/10012258870
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Are fund managers incentivised to ignore stock market jumps?
Chondrogiannis, Ilias; Freeman, Mark; Vivian, Andrew - In: The European journal of finance 29 (2023) 15, pp. 1793-1823
Persistent link: https://www.econbiz.de/10014388504
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How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: The European journal of finance 23 (2017) 4/6, pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
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From Markowitz to modern risk management
Alexander, Gordon J. - In: The European journal of finance 15 (2009) 5/6, pp. 451-461
Persistent link: https://www.econbiz.de/10003886390
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Risk management in the energy markets and Value-at-Risk modelling : a hybrid approach
Andriosopoulos, Kostas; Nomikos, Nikos K. - In: The European journal of finance 21 (2015) 7/9, pp. 548-574
Persistent link: https://www.econbiz.de/10011301233