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Il risk budgeting nell'asset management : strumenti e tecniche per la misurazione, scomposizione e allocazione del rischio
Braga, Maria Debora - 2008
Persistent link: https://www.econbiz.de/10003707091
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Does the Basle Capital Accord reduce bank fragility? An assessment of the value-at-risk approach
Alexander, Gordon J.; Baptista, Alexandre M. - In: Journal of monetary economics 53 (2006) 7, pp. 1631-1660
Persistent link: https://www.econbiz.de/10003381921
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An empirical investigation of the book-to-market and size effects
Petkova, Ralitsa - 2003
Persistent link: https://www.econbiz.de/10003385465
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Essays on finite sample inference and financial econometrics
Bao, Yong - 2004
Persistent link: https://www.econbiz.de/10003386763
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Portfolio diversification, leverage, and financial contagion
Schinasi, Garry J.; Smith, Richard Todd - 2007
Persistent link: https://www.econbiz.de/10003500744
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A copula approach to value-at-risk estimation for fixed-income portfolios
Martellini, Lionel; Meyeredi, Jean-Christophe - In: The journal of fixed income 17 (2007) 1, pp. 5-15
Persistent link: https://www.econbiz.de/10003502367
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The limits of diversification when losses may be large
Ibragimov, Rustam; Walden, Johan - In: Journal of banking & finance 31 (2007) 8, pp. 2551-2569
Persistent link: https://www.econbiz.de/10003522982
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Modelling and calibration errors in measures of portfolio credit risk
Tarashev, Nikola A.; Zhu, Haibin - 2007
This paper develops an empirical procedure for analyzing the impact of model misspecification and calibration errors on measures of portfolio credit risk. When applied to large simulated portfolios with realistic characteristics, this procedure reveals that violations of key assumptions of the...
Persistent link: https://www.econbiz.de/10003512271
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Efficient risk simulations for linear asset portfolios in the t-copula model
Sak, Halis; Hörmann, Wolfgang; Leydold, Josef - In: European journal of operational research : EJOR 202 (2010) 3, pp. 802-809
Persistent link: https://www.econbiz.de/10003981022
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Econometric analysis of financial count data and portfolio choice : a dynamic approach
Rengifo, Erick W. - 2005
Persistent link: https://www.econbiz.de/10003987160