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The role of models in economics and risk management

Rowe, David M. - In: Journal of risk management in financial institutions 7 (2014) 2, pp. 103-109

Persistent link: https://www.econbiz.de/10010359522

Systematic tail risk

Oordt, Maarten van; Chen Zhou - 2013

Persistent link: https://www.econbiz.de/10010225580

Global risk evolution and diversification : a Copula-DCC-GARCH model approach

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Revista Brasileira de Finanças : RBFin 10 (2012) 4, pp. 529-550

Persistent link: https://www.econbiz.de/10010412236

Preparing for the worst : incorporating downside risk in stock market investments

Vinod, Hrishikesh D.; Reagle, Derrick Peter - 2005

Persistent link: https://www.econbiz.de/10002007029

Shareholder-value-bezogene Abbildung von Risiken im Wertebereich bei Banken als Basis eines Risk-Return-Controlling

Prußog, Carsten - 2000

Persistent link: https://www.econbiz.de/10001421511

The effectiveness of Value-at-Risk models in various volatility regimes

Schiffers, Aleksander; Chlebus, Marcin - 2021

Persistent link: https://www.econbiz.de/10012816709

Optimal allocation of retirement portfolios

Maritato, Kevin; Lane, Morton; Murphy, Matthew; … - In: Journal of risk and financial management : JRFM 15 (2022) 2, pp. 1-17

with risk measured by CVaR and additional sophisticated constraints. The cash outflow shortages are penalized in the …

Persistent link: https://www.econbiz.de/10013206042

Shortfall deviation risk : an alternative for risk measurement

Righi, Marcelo Brutti; Ceretta, Paulo Sergio - In: Journal of risk 19 (2016) 2, pp. 81-116

Persistent link: https://www.econbiz.de/10013177086

Regress under stress : a simple least-squares method for integrating economic scenarios with risk simulations

Rosen, Dan; Sounders, David - In: Journal of risk management in financial institutions 9 (2016) 4, pp. 391-412

Persistent link: https://www.econbiz.de/10011663120

Market-risk optimization among the developed and emerging markets with cvar measure and copula simulation

Trabelsi, Nader; Tiwari, Aviral Kumar - In: Risks : open access journal 7 (2019) 3/78, pp. 1-20

-parametric kernel-smoothed interior and the parametric Pareto upper tail and (iii) Value-at-Risk (VaR) to quantify risk measure. The …In this paper, the generalized Pareto distribution (GPD) copula approach is utilized to solve the conditional value-at-risk … minimizing CVaR measure and simulated copula returns combined outperforms the risk/return of domestic portfolios, such as the US …

Persistent link: https://www.econbiz.de/10012127555