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Genest, Christian; Gendron, Michel; Bourdeau-Brien, Michaël - In: The European Journal of Finance 15 (2009) 7-8, pp. 609-618

The authors provide bibliometric evidence to illustrate the development of copula theory in mathematics, statistics …

Persistent link: https://www.econbiz.de/10008603214

Risk management in trading and investment portfolios : an optimisation algorithm for maximum risk-budgeting threshold

Janabi, Mazin A. M. al - In: Journal of emerging market finance 11 (2012) 2, pp. 189-229

Persistent link: https://www.econbiz.de/10009752878

The fundamental review of the trading book : implications for portfolio and risk management in the banking sector

McCullagh, Orla; Cummins, Mark; Killian, Sheila - In: Journal of money, credit and banking : JMCB 55 (2023) 7, pp. 1785-1816

Persistent link: https://www.econbiz.de/10014436097

Volatility modeling of the JSE all share index and risk estimation using the Bayesian and frequentist approaches

Sigauke, Casto - In: Economics, management and financial markets 11 (2016) 4, pp. 33-48

Persistent link: https://www.econbiz.de/10011868092

Risk measures based on benchmark loss distributions

Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018

We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...

Persistent link: https://www.econbiz.de/10011900226

Scenario optimization technique for the assessment of downside-risk and investable portfolios in post-financial crisis

Janabi, Mazin A. M. al - In: International journal of financial engineering 2 (2015) 3, pp. 1-28

Persistent link: https://www.econbiz.de/10011403192

Looking beyond wine risk-adjusted performance

Maurer, Frantz; Cardebat, Jean-Marie; Jiao, Linda - In: Journal of wine economics 15 (2020) 2, pp. 229-259

Persistent link: https://www.econbiz.de/10012404400

The impact of different default triggers on CMBS risk evaluation

Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91

Persistent link: https://www.econbiz.de/10011700690

FRM Financial Risk Meter

Althof, Michael - 2022

Persistent link: https://www.econbiz.de/10013390868

Risk management with high-dimensional vine copulas: An analysis of the Euro Stoxx 50

Christain, Brechmann Eike; Claudia, Czado - In: Statistics & Risk Modeling 30 (2013) 4, pp. 307-342

can fill this gap by benefiting from the rich class of existing bivariate parametric copula families. Exploiting this in … combination with GARCH models for the margins, we develop a regular vine copula based factor model for asset returns, the Regular … we explicitly discuss how vine copula models can be employed for active and passive portfolio management. In particular …

Persistent link: https://www.econbiz.de/10011015722