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ECONIS (ZBW)
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1
Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.
;
Frey, Rüdiger
;
Embrechts, Paul
-
2005
Persistent link: https://www.econbiz.de/10002934295
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VaR and expected shortfall in portfolios of dependent credit risks: conceptual and practical insights
Frey, Rüdiger
;
McNeil, Alexander J.
- In:
Journal of banking & finance
26
(
2002
)
7
,
pp. 1317-1334
Persistent link: https://www.econbiz.de/10001688506
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3
Estimation of tail-related risk measures for heteroscedastic financial time series : an extreme value approach
McNeil, Alexander J.
;
Frey, Rüdiger
- In:
Journal of empirical finance
7
(
2000
)
3/4
,
pp. 271-300
Persistent link: https://www.econbiz.de/10001557719
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