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Coherent risk measures and normal mixture distributions with applications in portfolio optimization
Shi, Xiang; Kim, Young Shin - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-18
Persistent link: https://www.econbiz.de/10012652709
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Tail risk measures and risk allocation for the class of multivariate normal mean-variance mixture distributions
Kim, Joseph H. T.; Kim, So-Yeun - In: Insurance / Mathematics & economics 86 (2019), pp. 145-157
Persistent link: https://www.econbiz.de/10012058851
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Prediction, risk assessment and comparison of selected emerging markets' stock indices during covid-19 pandemic using the coherent measure : comparing selected emerging markets' st...
Das, Prabir Kumar; Das, Anarghya - In: The journal of prediction markets 16 (2022) 3, pp. 81-97
Persistent link: https://www.econbiz.de/10014290506
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Credit risk measurement : new approaches to value at risk and other paradigms
Saunders, Anthony - 1999
Persistent link: https://www.econbiz.de/10000682884
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Ansätze zur Validierung von Marktrisikomodellen : Systematisierung, Anwendungsmöglichkeiten und Grenzen der Verfahren
Wehn, Carsten - 2005
Persistent link: https://www.econbiz.de/10003280464
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Credit risk measurement in and out of the financial crisis : new approaches to value at risk and other paradigms
Saunders, Anthony; Allen, Linda - 2010 - 3. ed.
Persistent link: https://www.econbiz.de/10003892488
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What kind of systemic risks do we face in the European banking sector? : the approach of CoVaR measure
Karkowska, Renata - In: Folia oeconomica Stetinensia : FOS 14 (2014) 2, pp. 114-139
Persistent link: https://www.econbiz.de/10011419194
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A new test procedure for the choice of dependence structure in risk measurement : application to the US and UK stock market indices
Shim, Jeungbo; Lee, Eun-joo; Lee, Seung-Hwan - In: Applied economics 48 (2016) 13/15, pp. 1382-1389
Persistent link: https://www.econbiz.de/10011433225
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Incorporating risk measures in closed-loop supply chain network design
Soleiman, Hamed; Seyyed-Esfahani, Mirmehdi; Kannan, Govindan - In: International journal of production research 52 (2014) 6, pp. 1843-1867
Persistent link: https://www.econbiz.de/10010257281
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Value at risk measuring and extreme value theory : evidence from Montenegro
Cerovic Smolovic, Julija - In: Facta Universitatis / Series economics and organization … 11 (2014) 2, pp. 175-189
Persistent link: https://www.econbiz.de/10011508680