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Scenario optimisation of credit risky portfolios

Bohrmann, Jürgen Thomas; Bohrmann, Jürgen - 2007

Persistent link: https://www.econbiz.de/10003480505

How accurate are value-at-risk models at commercial banks?

Berkowitz, Jeremy; O'Brian, James - 2001

Persistent link: https://www.econbiz.de/10001601694

How accurate are value-at-risk models at commercial banks?

Berkowitz, Jeremy; O'Brien, James - In: The journal of finance : the journal of the American … 57 (2002) 3, pp. 1093-1111

Persistent link: https://www.econbiz.de/10001684743

Jumps in foreign exchange rates and stochastic unwinding of carry trades

Nirei, Makoto; Sushko, Vladyslav - In: International review of economics & finance : IREF 20 (2011) 1, pp. 110-127

Persistent link: https://www.econbiz.de/10009304196

Three Essays on Hedge Fund Risk Taking, Hedge Fund Herding, and Audit Experts

Mattes, Achim - 2014

Persistent link: https://www.econbiz.de/10010503103

Risk Sensitive Asset Management and Cascading Defaults

Birge, John R. - 2017

We consider an optimal risk-sensitive portfolio allocation problem accounting for the possibility of cascading defaults. Default events have an impact on the distress state of the surviving stocks in the portfolio. We study the recursive system of non-Lipschitz quasi-linear parabolic HJB-PDEs...

Persistent link: https://www.econbiz.de/10012969492