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Atilgan, Yigit; Demirtas, K. Ozgur - In: Emerging markets finance & trade : a journal of the … 49 (2013) 3, pp. 65-83

Persistent link: https://www.econbiz.de/10010200844

Stress testing correlation matrices for risk management

So, Mike Ka-pui; Wong, Jerry; Asai, Manabu - In: The North American journal of economics and finance : a … 26 (2013), pp. 310-322

Persistent link: https://www.econbiz.de/10010365763

Are the log-returns of Italian open-end mutual funds normally distributed : a risk assessment perspective

Bianchi, Michele Leonardo - In: The journal of asset management 16 (2015) 7, pp. 437-449

Persistent link: https://www.econbiz.de/10011455704

Evaluation approaches of value at risk for Tehran stock exchange

Adabi, Bagher; Mehrara, Mohsen; Mohammadi, Shapour - In: Iranian economic review : journal of University of Tehran 19 (2015) 1, pp. 41-62

Persistent link: https://www.econbiz.de/10011456560

Risk model backtesting

Terzić, Ivica; Milojević, Marko - In: Ekonomika : međunarodni časopis za ekonomsku teoriju … 62 (2016) 1, pp. 151-162

Persistent link: https://www.econbiz.de/10011483358

Société générale corporate and investment banking : how we monitor market risk

Beurotte, Pascal; Bory, Georges - In: Journal of securities operations & custody 7 (2014) 1, pp. 21-26

Persistent link: https://www.econbiz.de/10011486340

Mean-univariate GARCH VaR portfolio optimization : actual portfolio approach

Ranković, Vladimir; Drenovak, Mikica; Urosevic, Branko; … - In: Computers & operations research : and their … 72 (2016), pp. 83-92

Persistent link: https://www.econbiz.de/10011488146

The new hybrid value at risk approach based on the extreme value theory

Radivojevic, Nicola; Cvjetkovic, Milena; Stepanov, Saša - In: Estudios de economía 43 (2016) 1, pp. 29-52

In this paper the authors introduce a new hybrid approach based on the Extreme Value Theory (EVT) to joint estimation of Value at Risk (VaR) and Expected Shortfall (ES) for high quantiles of return distributions. The approach is suitable for measuring market risk in the emerging markets. It is...

Persistent link: https://www.econbiz.de/10011503775

Portfolio construction based on implied correlation information and value at risk

Rogel-Salazar, Jesús; Tella, Roberto - In: EconoQuantum : Revista de Economía y Negocios 12 (2015) 1, pp. 125-144

Persistent link: https://www.econbiz.de/10011558686

Return or position-based value at risk?

Huillard d'Aignaux, Jérôme; Baranne, Benjamin; Fuchs, … - In: International Journal of Portfolio Analysis and Management 1 (2014) 4, pp. 301-313

Persistent link: https://www.econbiz.de/10010472817