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Schätzung des Value-at-Risk von Hedge Fund Portfolios : ein Vergleich alternativer Ansätze

Oehler, Andreas; Schwindler, Oliver A. - In: Risikomanagement für Investmentfonds und Hedge Funds - …, (pp. 293-314). 2007

Persistent link: https://www.econbiz.de/10003766786

Stochastic portfolio specific mortality and the quantification of mortality basis risk

Platt, Richard (contributor) - 2008

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

Banking: risk management techniques and application in banking under Basel II accord risk management

Ghosal, S. N. - In: Indian banking : the new vision, (pp. 90-94). 2007

Persistent link: https://www.econbiz.de/10003770409

Credit losses in economic downturns : empirical evidence for Hong Kong mortgage loans

Rösch, Daniel; Scheule, Harald - 2008

Persistent link: https://www.econbiz.de/10003770585

Sensitivitätsanalyse und Value at Risk als Instrumente des Marktpreisrisiko-Reporting nach IFRS 7

Prokop, Jörg - In: Betriebswirtschaftliche Forschung und Praxis : BFuP 60 (2008) 5, pp. 464-480

Persistent link: https://www.econbiz.de/10003770704

Why and how to integrate liquidity risk into a VaR-framework

Stange, Sebastian (contributor); … - 2008

We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread measure extracts liquidity costs by order size from the limit order book. We show that it is precise from a risk perspective in a wide range of clearly defined situations. Using...

Persistent link: https://www.econbiz.de/10003783767