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Managing infrastructure tail risks in equity portfolios
Chakkalakal, Louis; Hommel, Ulrich - In: Essays on portfolio optimization and infrastructure …, (pp. 86-114). 2018
Persistent link: https://www.econbiz.de/10012111697
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Stable modeling of market and credit value at risk
Račev, Svetlozar T.; Schwartz, Eduardo S.; Khindanova, … - In: Handbook of heavy tailed distributions in finance, (pp. 249-328). 2003
Persistent link: https://www.econbiz.de/10001882089
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Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
Stoyanov, Stoyan V.; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Operations research models in banking management, (pp. 169-187). 2013
Persistent link: https://www.econbiz.de/10009739300