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A closed form model-free approximation for the Initial Margin of option portfolios. (2023). Mingone, Arianna ; Martini, Claude.
In: Papers.
RePEc:arx:papers:2306.16346.

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  18. Samuel N Cohen, Christoph Reisinger, and Sheng Wang. Estimating risks of option books using neuralSDE market models. arXiv preprint arXiv:2202.07148, 2022.

Cocites

Documents in RePEc which have cited the same bibliography

  1. A closed form model-free approximation for the Initial Margin of option portfolios. (2023). Mingone, Arianna ; Martini, Claude.
    In: Papers.
    RePEc:arx:papers:2306.16346.

    Full description at Econpapers || Download paper

  2. Hybrid quantile estimation for asymmetric power GARCH models. (2022). Li, Wai Keung ; Zhu, KE ; Wang, Guochang.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:227:y:2022:i:1:p:264-284.

    Full description at Econpapers || Download paper

  3. Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph.
    In: Papers.
    RePEc:arx:papers:2202.07148.

    Full description at Econpapers || Download paper

  4. Covid-19 Death Risk Estimation Using VaR Method. (2021). Warowny, Tomasz ; Surowiec, Agnieszka.
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xxiv:y:2021:i:special2:p:368-379.

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  5. A New Semiparametric Mirrored Historical Simulation Value-At-Risk Model. (2020). Brzakovi, Omislav D ; Filipovi, Luka ; Radivojevi, Nikola.
    In: Journal for Economic Forecasting.
    RePEc:rjr:romjef:v::y:2020:i:1:p:5-21.

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  6. Hybrid quantile estimation for asymmetric power GARCH models. (2019). Zhu, Ke ; Li, Wai Keung ; Wang, Guochang.
    In: Papers.
    RePEc:arx:papers:1911.09343.

    Full description at Econpapers || Download paper

  7. Research on Risk Measurement in Financial Market Based on GARCH-VaR and FHS¡ª¡ªAn Example of Chinese Bond Market. (2018). Chen, Shaozhen ; Deng, Jinjin ; Zhang, Bangqian.
    In: Applied Economics and Finance.
    RePEc:rfa:aefjnl:v:5:y:2018:i:4:p:102-116.

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  8. How accurate are modern Value-at-Risk estimators derived from extreme value theory?. (2018). Auer, Benjamin R ; Mogel, Benjamin .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:50:y:2018:i:4:d:10.1007_s11156-017-0652-y.

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  9. Does the Assumption on Innovation Process Play an Important Role for Filtered Historical Simulation Model?. (2018). Ozel, Gamze ; Tatlidil, Huseyin ; Altun, Emrah ; Nadarajah, Saralees.
    In: JRFM.
    RePEc:gam:jjrfmx:v:11:y:2018:i:1:p:7-:d:128249.

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  10. EWS-GARCH: New Regime Switching Approach to Forecast Value-at-Risk. (2017). Chlebus, Marcin ; Marcin, Chlebus.
    In: Central European Economic Journal.
    RePEc:vrs:ceuecj:v:3:y:2017:i:50:p:01-25:n:1.

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  11. How Accurate are Modern Value-at-Risk Estimators Derived from Extreme Value Theory?. (2016). Mogel, Benjamin ; Auer, Benjamin R.
    In: CESifo Working Paper Series.
    RePEc:ces:ceswps:_6288.

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  12. Evaluation Approaches of Value at Risk for Tehran Stock Exchange. (2015). Mohammadi, Shapour ; Mehrara, Mohsen ; Adabi, Bagher.
    In: Iranian Economic Review.
    RePEc:eut:journl:v:19:y:2015:i:1:p:41.

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  13. Pitfalls in backtesting Historical Simulation VaR models. (2012). Escanciano, Juan Carlos ; Pei, Pei.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:8:p:2233-2244.

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  14. Extreme Value Theory and Value at Risk: Application to oil market. (2009). Trabelsi, Abdelwahed ; Marimoutou, Velayoudoum ; Raggad, Bechir .
    In: Energy Economics.
    RePEc:eee:eneeco:v:31:y:2009:i:4:p:519-530.

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  15. Modelling VaR for foreign-asset portfolios in continuous time. (2009). Chen, Fen-Ying ; Liao, Szu-Lang.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:26:y:2009:i:1:p:234-240.

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  16. Optimisation in the presence of tail-dependence and tail risk: A heuristic approach for strategic asset allocation. (2008). Natale, Francesco Paolo.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:8:y:2008:i:6:d:10.1057_palgrave.jam.2250083.

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  17. Value-at-Risk for Greek Stocks. (2008). Angelidis, Timotheos ; Benos, Alexandros .
    In: Multinational Finance Journal.
    RePEc:mfj:journl:v:12:y:2008:i:1-2:p:67-104.

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  18. Measuring financial risk : comparison of alternative procedures to estimate VaR and ES. (2008). Ruiz, Esther ; Nieto, Maria Rosa .
    In: DES - Working Papers. Statistics and Econometrics. WS.
    RePEc:cte:wsrepe:ws087326.

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  19. A Robust VaR Model under Different Time Periods and Weighting Schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
    In: MPRA Paper.
    RePEc:pra:mprapa:80466.

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  20. A robust VaR model under different time periods and weighting schemes. (2007). Degiannakis, Stavros ; Angelidis, Timotheos ; Benos, Alexandros .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:28:y:2007:i:2:p:187-201.

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  21. Coherent risk measures under filtered historical simulation. (2005). Giannopoulos, Kostas ; Tunaru, Radu.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:979-996.

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