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Evaluating the credit exposure of interest rate derivatives under the real-world measure
Yasuoka, Takashi - In: The journal of risk model validation 12 (2018) 4, pp. 69-95
Persistent link: https://www.econbiz.de/10011992271
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Parametric and non-parametric estimation of value-at-risk
Jadhav, Deepak; Ramanathan, T. V. - In: The journal of risk model validation 3 (2009/10) 1, pp. 51-71
Persistent link: https://www.econbiz.de/10003848873
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The performance of value-at-risk models during the crisis
Skoglund, Jimmy; Erdman, Donald; Chen, Wei - In: The journal of risk model validation 4 (2010/11) 1, pp. 3-21
Persistent link: https://www.econbiz.de/10003971967
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Using approximate results for validating value-at-risk
Hong, Jimmy; Knight, John L.; Satchell, Stephen; … - In: The journal of risk model validation 4 (2010/11) 3, pp. 69-81
Persistent link: https://www.econbiz.de/10008699876
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Portofolio crash testing : making sense of extreme event exposures
Novosyolov, Arcady; Satchkov, Daniel - In: The journal of risk model validation 4 (2010/11) 3, pp. 53-67
Persistent link: https://www.econbiz.de/10008699880
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Value-at-risk levels implied by risk estimators drawn from historical data
Herzberg, Frederik - In: The journal of risk model validation 4 (2010/11) 3, pp. 3-26
Persistent link: https://www.econbiz.de/10008699886
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Dynamic value-at-risk models and the peaks-over-threshold method for market risk measurement : an empirical investigation during a financial crisis
Bee, Marco - In: The journal of risk model validation 6 (2012) 2, pp. 3-45
Persistent link: https://www.econbiz.de/10009572304
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Value-at-risk forecasts : a comparison analysis of extreme-value versus classical approaches
Ünal, Gözde - In: The journal of risk model validation 5 (2011) 3, pp. 59-76
Persistent link: https://www.econbiz.de/10009356742
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Value-at-risk forecasts with conditional volatility for structured products
Chen, Fen-ying - In: The journal of risk model validation 5 (2011) 1, pp. 45-69
Persistent link: https://www.econbiz.de/10009356846
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Backtesting general spectral risk measures with application to expected shortfall
Costanzino, Nick; Curran, Mike - In: The journal of risk model validation 9 (2015) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10010516722