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Estimating hedged portfolio value-at-risk using the conditional copula : an illustration of model risk
Chen, Yi-Hsuan; Tu, Anthony H. - In: International review of economics & finance : IREF 27 (2013), pp. 514-528
Persistent link: https://www.econbiz.de/10009740775
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Operational risk of option hedging
Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
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Efficient versus inefficient hedging strategies in the presence of financial and longevity (value at) risk
Luciano, Elisa; Regis, Luca - In: Insurance / Mathematics & economics 55 (2014), pp. 68-77
Persistent link: https://www.econbiz.de/10010366205
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Conditional value-at-risk for general loss distributions
Rockafellar, Ralph Tyrrell; Uryasev, Stanislav - In: Journal of banking & finance 26 (2002) 7, pp. 1443-1471
Persistent link: https://www.econbiz.de/10001688522
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CVaR models with selective hedging for international asset allocation
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, … - In: Journal of banking & finance 26 (2002) 7, pp. 1535-1561
Persistent link: https://www.econbiz.de/10001688719
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Hedging effectiveness under conditions of asymmetry
Cotter, John; Hanly, Jim - In: The European journal of finance 18 (2012) 1/2, pp. 135-147
Persistent link: https://www.econbiz.de/10009565247
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An analysis of risk-based asset allocation and portfolio insurance strategies
Ho, Lan-chih; Cadle, John; Theobald, Michael - In: Review of quantitative finance and accounting 36 (2011) 2, pp. 247-267
Persistent link: https://www.econbiz.de/10009272505
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Backtesting VaR in consideration of the higher moments of the distribution for minimum-variance hedging portfolios
Chuang, Chung-Chu; Wang, Yi-Hsien; Yeh, Tsai-Jung; … - In: Economic modelling 42 (2014), pp. 15-19
Persistent link: https://www.econbiz.de/10010478302
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Hedging gas in a multi-frequency semiparametric CVaR portfolio
Živkov, Dejan; Balaban, Suzana; Simić, Milica - In: Research in international business and finance 67 (2024) 1, pp. 1-18
Persistent link: https://www.econbiz.de/10014451522
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A review on drawdown risk measures and their implications for risk management
Geboers, Hans; Depaire, Benoît; Annaert, Jan - In: Journal of economic surveys 37 (2023) 3, pp. 865-889
Persistent link: https://www.econbiz.de/10014337978