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Estimating correlated jumps and stochastic volatilities

Witzany, Jiří - In: Prague economic papers : a bimonthly journal of … 22 (2013) 2, pp. 251-283

Persistent link: https://www.econbiz.de/10010226453

An international perspective on risk management quality

Mira, Svetlana; Taylor, Nicholas - In: European financial management : the journal of the … 19 (2013) 5, pp. 935-955

Persistent link: https://www.econbiz.de/10010237350

VaR-optimal risk management in regime-switching jump-diffusion models

Ramponi, Alessandro - In: Journal of mathematical finance 3 (2013) 1, pp. 103-109

Persistent link: https://www.econbiz.de/10010240819

Anybody can do value at risk : a nonparametric teaching study

Cheung, Yun-hsing; Powell, Robert - In: Australasian accounting business and finance journal : AABF 6 (2012) 1, pp. 111-123

Persistent link: https://www.econbiz.de/10010244287

Ranking of VaR and ES models : performance in developed and emerging markets

Žikovi´c, Saša; Filer, Randall Keith - In: Finance a úvěr 63 (2013) 4, pp. 327-359

Persistent link: https://www.econbiz.de/10010244885

Estimating Value at Risk (VaR) using filtered historical simulation in the Indian capital market

Roy, Indrajit - In: Occasional papers / Reserve Bank of India 32 (2011) 2, pp. 81-98

Persistent link: https://www.econbiz.de/10010245725

Downside risk in emerging markets

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

Financial network systemic risk contributions

Hautsch, Nikolaus; Schaumburg, Julia; Schienle, Melanie - 2013

We propose the realized systemic risk beta as a measure for financial companies' contribution to systemic risk given network interdependence between firms' tail risk exposures. Conditional on statistically pre-identified network spillover effects and market as well as balance sheet information,...

Persistent link: https://www.econbiz.de/10010201170

Incorporating risk measures in closed-loop supply chain network design

Soleiman, Hamed; Seyyed-Esfahani, Mirmehdi; Kannan, Govindan - In: International journal of production research 52 (2014) 6, pp. 1843-1867

Persistent link: https://www.econbiz.de/10010257281

Foreign exchange risk in a managed float regime : a case study of Pakistani rupee

Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic modelling 35 (2013), pp. 409-417

Persistent link: https://www.econbiz.de/10010259786

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