Similar Search Results - EconBiz

Quantification of spread risk by means of historical simulation

Frisch, Christoph; Knöchlein, Germar - In: Applied quantitative finance, (pp. 37-67). 2009

Persistent link: https://www.econbiz.de/10003745948

Statistics and finance : an introduction

Ruppert, David - 2004

This textbook emphasizes the applications of statistics and probability to finance. Students are assumed to have had a prior course in statistics, but no background in finance or economics. The basics of probability and statistics are reviewed and more advanced topics in statistics, such as...

Persistent link: https://www.econbiz.de/10001805902

Bayesian analysis of stochastic volatility models with levy jumps : application to risk analysis

Szerszen, Pawel J. - 2009

Persistent link: https://www.econbiz.de/10003932677

Combining non-constant weights with historical simulation VaR

Rebonato, Riccardo; Shanbhogue, Vasant - In: Journal of risk management in financial institutions 3 (2009/10) 4, pp. 392-404

Persistent link: https://www.econbiz.de/10008736815

Forecasting VaR using analytic higher moments for GARCH processes

Alexander, Carol; Lazar, Emese; Stanescu, Silvia - In: International review of financial analysis 30 (2013), pp. 36-45

Persistent link: https://www.econbiz.de/10010460001

Analyzing non-agency RMBS : a practical application of option-adjusted returns

Cooperstein, Richard L. - In: The journal of structured finance 18 (2012) 2, pp. 27-32

Persistent link: https://www.econbiz.de/10009583727

A comparison of several procedures for estimating value-at-risk in mature and emerging markets

Mihailescu, Laurenţiu - 2002

Persistent link: https://www.econbiz.de/10001693163

Nonlinear prediction of conditional percentiles for value-at-risk

Chang, Isaac J. - In: Glucksman fellowship program student research reports. 1999

Persistent link: https://www.econbiz.de/10001467190

The Hill estimator in financial risk assessment and an application to extremal exchange rate risk

Wagner, Niklas F. - In: Financial risk and financial risk management, (pp. 173-187). 2002

Persistent link: https://www.econbiz.de/10001755640

Distributional modeling of financial systemic risk and income data

Eckernkemper, Tobias - 2019

Persistent link: https://www.econbiz.de/10012021672

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