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New methods for estimating nonlinear continuous time interest rate processes
Mella-Barral, Pierre; Perraudin, William R. M. - 1994
Persistent link: https://www.econbiz.de/10000147754
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An extreme analysis of VaRs for emerging market benchmark bonds
Kiesel, Rüdiger; Perraudin, William R. M.; Taylor, Alex - In: Credit risk : measurement, evaluation and management ; …, (pp. 111-137). 2003
Persistent link: https://www.econbiz.de/10002001481
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Estimating volatility for long holding periods
Kiesel, Rüdiger; Perraudin, William R. M.; Taylor, Alex - In: Measuring risk in complex stochastic systems, (pp. 19-31). 2000
Persistent link: https://www.econbiz.de/10001579694
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Bank capital and value at risk
Jackson, Patricia - In: The journal of derivatives : the official publication … 4 (1997) 3, pp. 73-89
Persistent link: https://www.econbiz.de/10001218928
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Testing value-at-risk approaches to capital adequacy
Jackson, Patricia - In: Quarterly bulletin / Bank of England 38 (1998) 3, pp. 256-265
Persistent link: https://www.econbiz.de/10001244660
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A continuous-time arbitrage-pricing model with stochastic volatility and jumps
Ho, Mun S. - In: Journal of business & economic statistics : JBES ; a … 14 (1996) 1, pp. 31-43
Persistent link: https://www.econbiz.de/10001203183
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The impact of IMF programmes
Bagci, Pinar; Perraudin, William R. M. - 1997
Persistent link: https://www.econbiz.de/10000973749