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A new approach to comparing VaR estimation methods
Pérignon, Christophe; Smith, Daniel R. - In: The journal of derivatives : the official publication … 16 (2008/09) 2, pp. 54-66
Persistent link: https://www.econbiz.de/10003795258
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Diversification and Value-at-Risk
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 34 (2010) 1, pp. 55-66
Persistent link: https://www.econbiz.de/10003905666
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The level and quality of Value-at-Risk disclosure by commercial banks
Pérignon, Christophe; Smith, Daniel R. - In: Journal of banking & finance 34 (2010) 2, pp. 362-377
Persistent link: https://www.econbiz.de/10003935605
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Evaluating value-at-risk models via quantile regression
Gaglianone, Wagner Piazza; Lima, Luiz Renato; Linton, Oliver - In: Journal of business & economic statistics : JBES ; a … 29 (2011) 1, pp. 150-160
Persistent link: https://www.econbiz.de/10009159097
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Evaluating value-at-risk models via quantile regression
Gaglianone, Wagner Piazza; Lima, Luiz Renato; Linton, Oliver - 2010
Persistent link: https://www.econbiz.de/10008798843
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Evaluating value-at-risk models via quantile regression
Gaglianone, Wagner Piazza; Lima, Luiz Renato; Linton, Oliver - 2009
Persistent link: https://www.econbiz.de/10003971702
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An empirical investigation of the quality of value-at-risk disclosure in Australia
Campbell, Angus; Smith, Daniel R. - In: Accounting and finance 62 (2022) 1, pp. 469-491
Persistent link: https://www.econbiz.de/10013166415