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Measurement of extreme market risk : insights from a comprehensive literature review
Chakraborty, Gourab; Chandrashekhar, G. R.; … - In: Cogent economics & finance 9 (2021) 1, pp. 1-24
evaluation of the methodological and empirical advances in the measurement of the extreme market risk. This paper argues that a … value theory (EVT) followed closely by the filtered historical simulation (FHS) are highly accurate methodologies. In …
Persistent link: https://www.econbiz.de/10013183970
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Optimal investment for retail investors
Belak, Christoph; Mich, Lukas; Seifried, Frank Thomas - In: Mathematical finance : an international journal of … 32 (2022) 2, pp. 555-594
Persistent link: https://www.econbiz.de/10013164562
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Implications of shifting retail market shares for loan monitoring in a dominant-bank model
VanHoose, David D. - In: Scottish journal of political economy : the journal of … 60 (2013) 3, pp. 291-316
Persistent link: https://www.econbiz.de/10010207890
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Modeling and estimating the credit cycle by a probit-AR(1)-process
Höse, Steffi; Vogl, Konstantin - 2005
Persistent link: https://www.econbiz.de/10013441119
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Predicting the credit cycle with an autoregressive model
Höse, Steffi; Vogl, Konstantin - 2005
Persistent link: https://www.econbiz.de/10013441120
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Measuring and modelling financial risk
Alexander, Carol (contributor) - 1998
Persistent link: https://www.econbiz.de/10000680099
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Portfolio selection auf der Grundlage symmetrischer und asymmetrischer Risikomaße
Serf, Bernd - 1995
Persistent link: https://www.econbiz.de/10000541122
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Performance measurement using multiple asset class portfolio data : a study of UK pension fonds
Blake, David; Lehmann, Bruce Neal; Timmermann, Allan - 1997
Persistent link: https://www.econbiz.de/10000637545
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Methoden und Probleme der Performance-Messung von Aktienportefeuilles
Roßbach, Peter - 1991
Persistent link: https://www.econbiz.de/10000082198
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Das Management von Zinsänderungsrisiken : theoretische Ansätze und ihre empirische Überprüfung für den deutschen Rentenmarkt
Bußmann, Johannes - 1988
Persistent link: https://www.econbiz.de/10000083337