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Risk measures and portfolio selection
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765462
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Introduction to stochastic processes
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2008
Persistent link: https://www.econbiz.de/10003765840
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Fat-tailed and skewed asset return distributions : implications for risk management, portfolio selection, and option pricing
Račev, Svetlozar T.; Menn, Christian; Fabozzi, Frank J. - 2005
Persistent link: https://www.econbiz.de/10002817530
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Operational risk : a guide to Basel II capital requirements, models, and analysis
Chernobai, Anna S.; Račev, Svetlozar T.; Fabozzi, Frank J. - 2007
Persistent link: https://www.econbiz.de/10003427487
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Quantifying risk in the electricity business : a RAROC-based approach
Prokopczuk, Marcel; Račev, Svetlozar T.; Schindlmayr, Gero - In: Energy economics 29 (2007) 5, pp. 1033-1049
Persistent link: https://www.econbiz.de/10003603307
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Approaches to credit risk in the new Basel Capital Accord
Benzin, Arne; Trück, Stefan; Rachev, Svetlozar T. - In: Credit risk : measurement, evaluation and management ; …, (pp. 1-33). 2003
Persistent link: https://www.econbiz.de/10002001314
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Modeling the persistence of conditional volatility with GARCH-stable processes
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000984425
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Unconditional and conditional distributional models for the Nikkei index
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10000985609
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A tail estimator for the index of the stable Paretian distribution
Mittnik, Stefan - 1996
Persistent link: https://www.econbiz.de/10001410592
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Statistical inference in time series with unit root in the presence of infinite-variance disturbances
Mittnik, Stefan - 1997
Persistent link: https://www.econbiz.de/10001410603