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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

Bilateral counterparty risk valuation adjustment with wrong way risk on collateralized commodity counterparty

Yang, Yifan; Fabozzi, Frank J.; Bianchi, Michele Leonardo - In: Journal of financial engineering 2 (2015) 1, pp. 1-31

Persistent link: https://www.econbiz.de/10010528392

How fat are the tails of equity market indices?

Stoyanov, Stoyan V.; Loh, Lixia; Fabozzi, Frank J. - In: International journal of finance & economics : IJFE 22 (2017) 3, pp. 181-200

Persistent link: https://www.econbiz.de/10011960289

Index-exciting CAViaR : a new empirical time-varying risk model

Huang, Dashan; Yu, Baimin; Lu, Zu-di; Fabozzi, Frank J.; … - In: Studies in nonlinear dynamics and econometrics : SNDE ; … 14 (2010) 2, pp. 1-24

Persistent link: https://www.econbiz.de/10009514126

Risk management and dynamic portfolio selection with stable paretian distributions

Ortobelli, Sergio; Račev, Svetlozar T.; Fabozzi, Frank J. - In: Journal of empirical finance 17 (2010) 2, pp. 195-211

Persistent link: https://www.econbiz.de/10009271854

Advanced stochastic models, risk assessment, and portfolio optimization : the ideal risk, uncertainty, and performance measures

Račev, Svetlozar T.; Stoyanov, Stoyan V.; Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003583006

Yield curve risk measures

Fabozzi, Frank J.; Mann, Steven V. - 2008

Persistent link: https://www.econbiz.de/10003765477

Credit risk

Fabozzi, Frank J. - 2008

Persistent link: https://www.econbiz.de/10003765534

Risk Management and Portfolio Budgeting Based on ARMA-GARCH Non-Gaussian Multivariate Model

Nooshi, Nima - 2012

In this work, we propose an ARMA(1,1)-GARCH(1,1) model with standard classical tempered stable (CTS) innovations for historical daily returns of 29 selected stocks. The non-Gaussian nature of the innovations captures the fat-tail property observed in data. The dependency between different assets...

Persistent link: https://www.econbiz.de/10013109131