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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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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
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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
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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
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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
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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
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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
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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
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Pension risk management in the enterprise risk management framework
Lin, Yijia; MacMinn, Richard D.; Tian, Ruilin; Yu, Jifeng - In: The journal of risk and insurance : the journal of the … 84 (2017), pp. 345-365
Persistent link: https://www.econbiz.de/10011685172
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Pension risk management with funding and buyout options
Cox, Samuel H.; Lin, Yijia; Shi, Tianxiang - In: Insurance / Mathematics & economics 78 (2018), pp. 183-200
Persistent link: https://www.econbiz.de/10011825260