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1
Period value at
risk
and its estimation by Monte Carlo simulation
Huo, Yanli
;
Xu, Chunhui
;
Shiina, Takayuki
- In:
Applied economics letters
29
(
2022
)
18
,
pp. 1675-1679
Persistent link: https://www.econbiz.de/10013412280
Saved in:
2
Coherent measure of portfolio
risk
Ardakani, Omid M.
- In:
Finance research letters
57
(
2023
),
pp. 1-10
Persistent link: https://www.econbiz.de/10014525068
Saved in:
3
The effectiveness of Value-at-
Risk
models in various volatility regimes
Schiffers, Aleksander
;
Chlebus, Marcin
-
2021
Persistent link: https://www.econbiz.de/10012816709
Saved in:
4
How to choose the return model for market
risk
? : getting towards a right magnitude of stressed VaR
Lichtner, Mark
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
Saved in:
5
Estimation of
risk
contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
Saved in:
6
Risk
measures in simulation-based business valuation : classification of
risk
measures in
risk
axiom systems and application in valuation practice
Ernst, Dietmar
- In:
Risks : open access journal
11
(
2023
)
1
,
pp. 1-14
Persistent link: https://www.econbiz.de/10014232597
Saved in:
7
Efficient algorithms for calculating
risk
measures and
risk
contributions in copula credit
risk
models
Huang, Zhenzhen
;
Kwok, Yue-Kuen
;
Xu, Ziqing
- In:
Insurance : mathematics and economics
115
(
2024
),
pp. 132-150
Persistent link: https://www.econbiz.de/10015066737
Saved in:
8
An evaluation and comparison of Value at
Risk
and Expected Shortfall
Burdorf, Tom
;
Van Vuuren, Gary
- In:
Investment management and financial innovations
15
(
2018
)
4
,
pp. 17-34
Persistent link: https://www.econbiz.de/10012055643
Saved in:
9
Risk
model backtesting
Terzić, Ivica
;
Milojević, Marko
- In:
Ekonomika : međunarodni časopis za ekonomsku teoriju …
62
(
2016
)
1
,
pp. 151-162
Persistent link: https://www.econbiz.de/10011483358
Saved in:
10
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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