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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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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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Quantitative risk management : concepts, techniques and tools
McNeil, Alexander J.; Frey, Rüdiger; Embrechts, Paul - 2005
Persistent link: https://www.econbiz.de/10002934295