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Value at risk für Kreditinstitute : Erfassung des aggregierten Marktrisikopotentials

Meyer, Christoph - 1999

Persistent link: https://www.econbiz.de/10000682592

Optimal portfolios with bounded value-at-risk

Klüppelberg, Claudia; Korn, Ralf - 1998

Persistent link: https://www.econbiz.de/10000682685

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart F.; Dijk, Herman K. van - 2008

Persistent link: https://www.econbiz.de/10003774522

Bayesian forecasting of Value at Risk and Expected Shortfall using adaptive importance sampling

Hoogerheide, Lennart; Dijk, Herman K. van - In: International journal of forecasting 26 (2010) 2, pp. 231-247

Persistent link: https://www.econbiz.de/10003980297

Value-at-risk analysis for the Tunisian currency market : a comparative study

Ben Rejeb, Aymen; Ben Salha, Ousama; Ben Rejeb, Jaleleddine - In: International journal of economics and financial issues … 2 (2012) 2, pp. 110-125

Persistent link: https://www.econbiz.de/10009579532

Copula-MGARCH with continuous covariance decomposition

Herwartz, Helmut; Raters, Fabian H. C. - In: Economics letters 133 (2015), pp. 73-76

Persistent link: https://www.econbiz.de/10011431988

Bayesian forecasting of value at risk and expected shortfall using adaptive importance sampling

Hoogerheide, Lennart; Dijk, Herman K. van - 2008

An efficient and accurate approach is proposed for forecasting Value at Risk [VaR] and Expected Shortfall [ES] measures in a Bayesian framework. This consists of a new adaptive importance sampling method for Quantile Estimation via Rapid Mixture of t approximations [QERMit]. As a first step the...

Persistent link: https://www.econbiz.de/10011377096

On the robustness of risk-based asset allocations

Poddig, Thorsten; Unger, Albina - In: Financial markets and portfolio management 26 (2012) 3, pp. 369-401

Persistent link: https://www.econbiz.de/10009623472

Optimising a mining portfolio using CVaR

Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011

Persistent link: https://www.econbiz.de/10009410472

Mean variance portfolio selection subject to value-at-risk constraints applied to real stock market data

Hamza, F.; El Kharrim, Mohamed; El Hachloufi, Mostafa - In: Computational techniques for banking and risk management, (pp. 61-72). 2013

Persistent link: https://www.econbiz.de/10010199040