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Risk management with weighted VaR
Wei, Pengyu - In: Mathematical finance : an international journal of … 28 (2018) 4, pp. 1020-1060
Persistent link: https://www.econbiz.de/10011969073
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Shortfall risk through Fenchel duality
Cui, Zhenyu; Deng, Jun - In: International journal of financial engineering 5 (2018) 2, pp. 1-14
Persistent link: https://www.econbiz.de/10011923010
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Introducing global term structure in a risk parity framework
Stagnol, Lauren - 2017
Persistent link: https://www.econbiz.de/10011738994
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An axiomatic foundation for the expected shortfall
Wang, Ruodu; Zitikis, Ričardas - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1413-1429
Persistent link: https://www.econbiz.de/10012505987
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FRM Financial Risk Meter
Althof, Michael - 2022
Persistent link: https://www.econbiz.de/10013390868
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Period value at risk and its estimation by Monte Carlo simulation
Huo, Yanli; Xu, Chunhui; Shiina, Takayuki - In: Applied economics letters 29 (2022) 18, pp. 1675-1679
Persistent link: https://www.econbiz.de/10013412280
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Risk excess measures induced by hemi-metrics
Faugeras, Olivier; Rüschendorf, Ludger - 2018
Persistent link: https://www.econbiz.de/10013488890
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Pro-cyclicality beyond business cycle
Bräutigam, Marcel; Dacorogna, Michel M.; Kratz, Marie - In: Mathematical finance : an international journal of … 33 (2023) 2, pp. 308-341
Persistent link: https://www.econbiz.de/10014278671
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Credit risk measurement : new approaches to value at risk and other paradigms
Saunders, Anthony - 1999
Persistent link: https://www.econbiz.de/10000682884
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860