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Value at risk measuring and extreme value theory : evidence from Montenegro
Cerovic Smolovic, Julija - In: Facta Universitatis / Series economics and organization … 11 (2014) 2, pp. 175-189
Persistent link: https://www.econbiz.de/10011508680
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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
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Comparison of market risk models with respect to suggested changes of Basel accord
Stiborová, Eliška; Sznapková, Barbora; Tichný, Tomáš - In: Acta oeconomica : periodical of the Hungarian Academy … 64 (2014), pp. 257-274
Persistent link: https://www.econbiz.de/10010474360
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Spectral methods for the calculation of risk measures for variable annuity guaranteed benefits
Feng, Runhuan; Volkmer, Hans W. - In: Astin bulletin : the journal of the International … 44 (2014) 3, pp. 653-681
Persistent link: https://www.econbiz.de/10010407941
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Measuring value at risk on emerging stock markets : empirical evidence from Serbian stock exchange
Miletić, Mirjana; Miletić, Siniša - In: Facta Universitatis / Series economics and organization … 10 (2013) 1, pp. 25-37
Persistent link: https://www.econbiz.de/10010458744
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Optimal trade execution under displaced diffusions dynamics across different risk criteria
Brigo, Damiano; Di Graziano, Giuseppe - In: Journal of financial engineering 1 (2014) 2, pp. 1-17
Persistent link: https://www.econbiz.de/10010508077
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Risk measures on P(R) and value at risk with probability/loss function
Frittelli, Marco; Maggis, Marco; Peri, Ilaria - In: Mathematical finance : an international journal of … 24 (2014) 3, pp. 442-463
Persistent link: https://www.econbiz.de/10010484275
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Risk analysis using regression quantiles : evidence from international equity markets
Guo, Hongtao; Lam, Miranda S.; Wu, Guojun; Xiao, Zhijie - In: The international journal of business and finance … 7 (2013) 2, pp. 1-15
Persistent link: https://www.econbiz.de/10009675606
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Cornish-Fisher expansion for commercial real estate value at risk
Amédée-Manesme, Charles-Olivier; Barthélémy, Fabrice; … - In: The journal of real estate finance and economics 50 (2015) 4, pp. 439-464
Persistent link: https://www.econbiz.de/10011474570
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Extreme downside risk and financial crises
Harris, Richard D. F.; Nguyen, Linh H.; Stoja, Evarist - 2015
Persistent link: https://www.econbiz.de/10011402719