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Value at risk models for volatile emerging markets equity portfolios
Dimitrakopoulos, Dimitris N.; Kavussanos, Manolis G.; … - In: The quarterly review of economics and finance : journal … 50 (2010) 4, pp. 515-526
Persistent link: https://www.econbiz.de/10009248539
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Risk measurement in portfolios with commodities
Bouille, Danaé - 2011
Persistent link: https://www.econbiz.de/10009237653
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The estimation of market risk in portfolios of stocks and stock options
Locarek-Junge, Hermann; Prinzler, Ralf; Straßberger, Mario - In: German financial markets and institutions: selected studies, (pp. 171-189). 2002
Persistent link: https://www.econbiz.de/10001705548
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Marktpreisrisikoschätzung in Portefeuilles mit nichtlinearen Verlustfunktionen
Locarek-Junge, Hermann; Straßberger, Mario; Prinzler, Ralf - In: e-Finance : innovative Problemlösungen für …, (pp. 295-314). 2001
Persistent link: https://www.econbiz.de/10001615205
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Schätzung des Marktrisikos von Portefeuilles aus Aktien und Aktienoptionen
Locarek-Junge, Hermann; Prinzler, Ralf; Straßberger, Mario - In: Operations research proceedings 2000 : selected papers …, (pp. 180-187). 2001
Persistent link: https://www.econbiz.de/10001571475
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Value at Risk Models for Volatile Emerging Markets Equity Portfolios
Kavussanos, Manolis G. - 2014
This paper investigates the issue of market risk quantification for emerging and developed market equity portfolios. A very wide spectrum of popular and widely used in practice Value at Risk (VaR) models are evaluated and compared with Extreme Value Theory (EVT) and adaptive filtered models,...
Persistent link: https://www.econbiz.de/10013060189
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Return based risk measures for non-normally distributed returns : an alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48
review, a data set was applied which was composed of three main asset classes: bonds, equities and hedge funds. The first …
Persistent link: https://www.econbiz.de/10012795821
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Notes on Fano ratio and portfolio optimization
Kakushadze, Zura; Yu, Willie - In: Journal of risk & control 5 (2018) 1, pp. 1-33
Persistent link: https://www.econbiz.de/10012229128
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Performance of monthly multivariate filtered historical simulation value-at-risk
Chrétien, Stéphane; Coggins, Frank; Trudel, Yves - In: Journal of risk management in financial institutions 3 (2009/10) 3, pp. 259-277
Persistent link: https://www.econbiz.de/10003991500
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VaR and time-varying volatility : a comparative study of three international portfolios
Obi, Pat; Sil, Shomir - In: Managerial finance 39 (2013) 7, pp. 625-640
Persistent link: https://www.econbiz.de/10009760762