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The role of the loss function in value-at-risk comparisons
Abad, Pilar; Benito Muela, Sonia; López Martin, Carmen - In: The journal of risk model validation 9 (2015) 1, pp. 1-19
Persistent link: https://www.econbiz.de/10010516723
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Commodity value-at-risk modeling : comparing riskmetrics, historic simulation and quantile regression
Steen, Marie; Westgaard, Sjur; Gjølberg, Ole - In: The journal of risk model validation 9 (2015) 2, pp. 49-78
Persistent link: https://www.econbiz.de/10011326305
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An application of sensitivity analysis to hedge funds
Gregoriou, Greg N.; Pascalau, Razvan - In: The journal of risk model validation 10 (2016) 1, pp. 21-45
Persistent link: https://www.econbiz.de/10011485150
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Exchange rate risk management for contractors within a hybrid payment scheme : a case study in Punta del Este, Uruguay
Egozcue, Martín - In: The journal of risk model validation 17 (2023) 4, pp. 1-20
Persistent link: https://www.econbiz.de/10014485778
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The usefulness of inaccurate models : financial risk management "in the wild"
Millo, Yuval; MacKenzie, Donald A. - In: The journal of risk model validation 3 (2009/10) 1, pp. 23-49
Persistent link: https://www.econbiz.de/10003848866
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Reconciling credit correlations
Chernih, Andrew; Henrard, Luc; Vanduffel, Steven - In: The journal of risk model validation 4 (2010/11) 2, pp. 47-64
Persistent link: https://www.econbiz.de/10003995410
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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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Further recipes for quantitative reverse stress testing
Grundke, Peter - In: The journal of risk model validation 6 (2012) 2, pp. 81-102
Persistent link: https://www.econbiz.de/10009572301
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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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On the choice of liquidity horizon for incremental risk charges : are the incentives of banks and regulators aligned?
Skoglund, Jimmy; Chen, Wei - In: The journal of risk model validation 5 (2011) 3, pp. 37-57
Persistent link: https://www.econbiz.de/10009356746