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Essays in Financial Economics
Sobott, Jonas Karl - 2017
Persistent link: https://www.econbiz.de/10012794977
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Optimising the value-at-risk model in banks in India to adequately quantify market risks in emerging markets
Akhmedov, Fakhraddin; Zeitoun, Mhd Shaker - In: International journal of economic policy in emerging … 12 (2019) 4, pp. 337-347
Persistent link: https://www.econbiz.de/10012251125
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Risk model backtesting
Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
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Value-at-Risk-Schätzung mit Gauß'schen Mischverteilungen und künstlichen neuronalen Netzen
Prinzler, Ralf - 2001
Persistent link: https://www.econbiz.de/10001583953
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Risikokapitalallokation und Marktpreisrisikosteuerung mit Value-at-Risk-Limiten
Straßberger, Mario - 2002 - 1. Aufl.
Persistent link: https://www.econbiz.de/10001745873
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Structural credit modeling and its relationship to market value at risk : an Australian sectoral perspective
Allen, David E.; Powell, Robert - In: The VaR implementation handbook, (pp. 403-414). 2009
Persistent link: https://www.econbiz.de/10003827094
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The VaR implementation handbook
Gregoriou, Greg N. (contributor) - 2009
Persistent link: https://www.econbiz.de/10003801768
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Financial risk in pension funds : application of value at risk methodology
Fedor, Marcin - In: Pension fund risk management : financial and actuarial …, (pp. 185-209). 2010
Persistent link: https://www.econbiz.de/10003938211
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An Evaluation of Bank VaR Measures for Market Risk During and Before the Financial Crisis
O'Brien, James M. - 2014
We study the performance and behavior of Value at Risk (VaR) measures used by a number of large banks during and before the financial crisis. Alternative benchmark VaR measures, including GARCH-based measures, are also estimated directly from the banks' trading revenues and help to explain the...
Persistent link: https://www.econbiz.de/10013056161
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An evaluation of bank measures for market risk before, during and after the financial crisis
O'Brien, James M.; Szerszeń, Paweł J. - In: Journal of banking & finance 80 (2017), pp. 215-234
Persistent link: https://www.econbiz.de/10011816277