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A duration approach for the measurement of biometric risks in life insurance
Radermacher, Marius; Recht, Peter - In: Zeitschrift für die gesamte Versicherungswissenschaft … 108 (2019) 3/4, pp. 327-345
Persistent link: https://www.econbiz.de/10012213977
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Equivalence of robust VaR and CVaR optimization
Lofti, Somayyeh; Zenios, Stauros Andrea - 2016 - Date of first version: April 4, 2016
Persistent link: https://www.econbiz.de/10011539339
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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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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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A new framework for measuring the credit risk of a portfolio : "ExVaR" model
Oda, Nobuyuki; Muranaga, Jun - 1997
Persistent link: https://www.econbiz.de/10000955719
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Portfolioorientierte Quantifizierung des Adressenausfall- und Restwertrisikos im Leasinggeschäft : Modellierung und Anwendung
Helwig, Christian - 2008 - 1. Aufl.
Persistent link: https://www.econbiz.de/10003752806
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Concentration risk in credit portfolios : with 19 tables
Lütkebohmert-Holtz, Eva; Lütkebohmert, Eva - 2009
Persistent link: https://www.econbiz.de/10003752832