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Enhancing portfolio risk management : a comparative study of parametric, non-parametric, and Monte Carlo methods, with VaR and percentile ranking

Shokri, Aris; Kythreotis, Alexios - In: International journal of business and emerging markets … 16 (2024) 3, pp. 411-428

Persistent link: https://www.econbiz.de/10015057498

Optimising portfolio risk by involving crypto assets in a volatile macroeconomic environment

Bányai, Attila; Tatay, Tibor; Thalmeiner, Gergő; … - In: Risks : open access journal 12 (2024) 4, pp. 1-21

Portfolio diversification is an accepted principle of risk management. When constructing an efficient portfolio, there are a number of asset classes to choose from. Financial innovation is expanding the range of instruments. In addition to traditional commodities and securities, other...

Persistent link: https://www.econbiz.de/10014636496

Value at risk models

Alexander, Carol - 2008

Persistent link: https://www.econbiz.de/10003758439

Stochastic portfolio specific mortality and the quantification of mortality basis risk

Platt, Richard (contributor) - 2008

Persistent link: https://www.econbiz.de/10003769993

Optimierung des Risikomanagementsystems am Beispiel der R. STAHL Technologiegruppe

Günther, Thomas; Śmirska, Katarzyna; Schiemann, Frank; … - In: Controlling : Zeitschrift für erfolgsorientierte … 21 (2009) 1, pp. 48-56

Persistent link: https://www.econbiz.de/10003794567

Risk management for linear and non-linear assets : a bootstrap method with importance resampling to evaluate value-at-risk

Lin, Shih-kuei; Wang, Ren-her; Fuh, Cheng-der - In: Asia-Pacific financial markets 13 (2006) 3, pp. 261-295

Persistent link: https://www.econbiz.de/10003609500

Portfolio risk forecasting - on the predictive power of multivariate dynamic copula models

Aepli, Matthias Daniel - 2015

Persistent link: https://www.econbiz.de/10010510833

Evaluating the accuracy of value-at-risk forecasts : new multilevel tests

Leccadito, Arturo; Boffelli, Simona; Urga, Giovanni - In: International journal of forecasting 30 (2014) 2, pp. 206-216

Persistent link: https://www.econbiz.de/10010510949

Computing value-at-risk using genetic algorithm

Sharma, Bhanu; Thulasiram, Ruppa K.; Thulasiram, Parimala - In: Journal of risk finance : the convergence of financial … 16 (2015) 2, pp. 170-189

Persistent link: https://www.econbiz.de/10010514021

Sequential Monte Carlo samplers for capital allocation under copula-dependent risk models

Targino, Rodrigo S.; Peters, Gareth W.; Shevchenko, Pavel V. - In: Insurance / Mathematics & economics 61 (2015), pp. 206-226

Persistent link: https://www.econbiz.de/10010515883

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