Similar Search Results

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

Measuring and controlling interest rate and credit risk

Fabozzi, Frank J.; Mann, Steven V.; Choudhry, Moorad - 2003 - 2. ed.

Persistent link: https://www.econbiz.de/10001764463

Risk parity : the democratization of risk in asset allocation

Fabozzi, Francesco A.; Simonian, Joseph; Fabozzi, Frank J. - In: The journal of portfolio management : JPM 47 (2021) 5, pp. 41-50

Persistent link: https://www.econbiz.de/10012503362

From ad hoc bond-risk measures to variance-covariance forecasts

Jong, Marielle de; Fabozzi, Frank J. - In: The journal of fixed income : JFI 30 (2021) 4, pp. 6-16

Persistent link: https://www.econbiz.de/10012517176

Portfolio volatility spillover

Konstantinov, Gueorgui; Fabozzi, Frank J. - In: International journal of theoretical and applied … 25 (2022) 4/5, pp. 1-39

Persistent link: https://www.econbiz.de/10013371157

A stochastic dominance approach to financial risk management strategies

Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - In: Journal of econometrics 187 (2015) 2, pp. 472-485

Persistent link: https://www.econbiz.de/10011499744

Reinsurance networks and their impact on reinsurance decisions : theory and empirical evidence

Lin, Yijia; Yu, Jifeng; Peterson, Manferd O. - In: The journal of risk and insurance : the journal of the … 82 (2015) 3, pp. 531-569

Persistent link: https://www.econbiz.de/10011373195

Has the Basel II accord encouraged risk management during the 2008 - 09 financial crisis?

McAleer, Michael; Jimenez-Martin, Juan-Angel; Pérez … - 2009

The Basel II Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one or more risk models to measure Value-at-Risk (VaR). The risk estimates of...

Persistent link: https://www.econbiz.de/10011378354

Downside risk management of a defined benefit plan considering longevity basis risk

Lin, Yijia; Tan, Ken Seng; Tian, Ruilin; Yu, Jifeng - In: North American actuarial journal 18 (2014) 1, pp. 68-86

Persistent link: https://www.econbiz.de/10011339021

Handbook of heavy-tailed distributions in asset management and risk management

Bianchi, Michele Leonardo; Stoyanov, Stoyan V.; … - 2019

Persistent link: https://www.econbiz.de/10012010807