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Assessing network risk with FRM : links with pricing kernel volatility and application to cryptocurrencies
Wang, Ruting; Potì, Valerio; Härdle, Wolfgang - In: Quantitative finance 24 (2024) 7, pp. 975-992
Persistent link: https://www.econbiz.de/10015050808
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Credit Risk und Value-at-Risk Alternativen : Herausforderungen für das Risk-Management
Oehler, Andreas (ed.) - 1998
Persistent link: https://www.econbiz.de/10000664860
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Optimising a mining portfolio using CVaR
Allen, David E.; Kramadibrata, Akhmad R.; Powell, Robert; … - 2011
Persistent link: https://www.econbiz.de/10009410472
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Predicting and hedging credit portfolio risk with macroeconomic factors
Bär, Tobias - 2002
Persistent link: https://www.econbiz.de/10001649713
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Aggregating credit and market risk : the impact of model specification
Lucas, André; Verhoef, Bastiaan - 2012
Persistent link: https://www.econbiz.de/10010191011
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Stochastic models in financial risk management
Redeker, Imke - 2019
Persistent link: https://www.econbiz.de/10012062841
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Von der Markt- zur Kreditrisikomessung
Huschens, Stefan - 2000
Persistent link: https://www.econbiz.de/10013440957
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Optimizing the market-risk of major cryptocurrencies using CVaR measure and copula simulation
Pradhan, Ashis Kumar; Mittal, Ishan; Tiwari, Aviral Kumar - In: Macroeconomics and finance in emerging market economies 14 (2021) 3, pp. 291-307
Persistent link: https://www.econbiz.de/10012649582
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Dynamic risk-based optimization on cryptocurrencies
Nugroho, Bayu Adi - In: Journal of capital markets studies 5 (2021) 1, pp. 28-48
Purpose - It is crucial to find a better portfolio optimization strategy, considering the cryptocurrencies' asymmetric … windows method. The sample consisted of ten significant cryptocurrencies. Findings - Dynamic optimization enhanced risk … - Sophisticated investors may use the dynamic ERC and MDP to optimize cryptocurrencies portfolio. Originality/value - To the best of …
Persistent link: https://www.econbiz.de/10012624870
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Dynamic volatility transmission and portfolio management across major cryptocurrencies : evidence from hourly data
Mensi, Walid; Al-Yahyaee, Khamis Hamed; Al-Jarrah, … - In: The North American journal of economics and finance : a … 54 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012665455