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1. The Information Value of Past Losses in Operational Risk. (2023). Migueis, Marco ; Curti, Filippo.
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   RePEc:fip:fedgfe:2023-03.

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2. CoMargin. (2015). Harris, Jeffrey ; Cruz Lopez, Jorge ; Hurlin, Christophe ; Perignon, Christophe.
   In: Working Papers.
   RePEc:hal:wpaper:halshs-00979440.

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3. Public disclosure and risk-adjusted performance at bank holding companies. (2015). Hirtle, Beverly.
   In: Staff Reports.
   RePEc:fip:fednsr:293.

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4. A comparison of Expected Shortfall estimation models. (2015). Righi, Marcelo Brutti ; Ceretta, Paulo Sergio.
   In: Journal of Economics and Business.
   RePEc:eee:jebusi:v:78:y:2015:i:c:p:14-47.

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5. Asymmetric GARCH Value-at-Risk over MSCI in Financial Crisis. (2015). Huang, Han-Ching ; Su, Yong-Chern ; Tsui, Jen-Tien .
   In: International Journal of Economics and Financial Issues.
   RePEc:eco:journ1:2015-02-08.

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6. Thinly traded securities and risk management. (2014). Beuermann, Diether ; Bernales, Alejandro ; Cortazar, Gonzalo.
   In: Estudios de Economia.
   RePEc:udc:esteco:v:41:y:2014:i:1:p:5-48.

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7. A Monte Carlo Simulation Approach to Forecasting Multi-period Value-at-Risk and Expected Shortfall Using the FIGARCH-skT Specification. (2014). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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8. Implied Risk Exposures. (2014). Hurlin, Christophe ; Perignon, Christophe ; Benoit, Sylvain.
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9. Multifractality and value-at-risk forecasting of exchange rates. (2014). Batten, Jonathan ; Kinateder, Harald ; Wagner, Niklas.
   In: Physica A: Statistical Mechanics and its Applications.
   RePEc:eee:phsmap:v:401:y:2014:i:c:p:71-81.

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10. Bank regulation and international financial stability: A case against the 2006 Basel framework for controlling tail risk in trading books. (2014). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of International Money and Finance.
    RePEc:eee:jimfin:v:43:y:2014:i:c:p:107-130.

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11. Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. (2013). Schröder, Anna Louise ; Schroder, Anna Louise ; Fryzlewicz, Piotr.
    In: MPRA Paper.
    RePEc:pra:mprapa:52379.

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12. The Implications of VaR and Short-Selling Restrictions on the Portfolio Manager Performance. (2013). Tchana Tchana, Fulbert ; Fulbert, Tchana Tchana ; Georges, Tsafack .
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13. Adaptive trend estimation in financial time series via multiscale change-point-induced basis recovery. (2013). Schröder, Anna Louise ; Schroeder, Anna Louise ; Fryzlewicz, Piotr.
    In: LSE Research Online Documents on Economics.
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14. GFC-robust risk management under the Basel Accord using extreme value methodologies. (2013). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; Santos, Paulo Araujo ; AraujoSantos, Paulo .
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15. Dynamic factor Value-at-Risk for large heteroskedastic portfolios. (2013). Wu, Jason ; Giudice Rodriguez, Marius del, ; Aramonte, Sirio.
    In: Journal of Banking & Finance.
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16. The Risk Map: A new tool for validating risk models. (2013). Hurlin, Christophe ; Perignon, Christophe ; Colletaz, Gilbert.
    In: Journal of Banking & Finance.
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17. Forecasting VaR using analytic higher moments for GARCH processes. (2013). Alexander, Carol ; Stanescu, Silvia ; Lazar, Emese.
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18. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
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19. Can VAR Be Predictive for Regulation? Evidence from the Futures Industry in Taiwan. (2012). Hung, Jui-Cheng ; Chang, Matthew C..
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20. Pitfalls in Backtesting Historical Simulation VaR Models. (2012). Pei, Pei ; Escanciano, Juan Carlos.
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21. Realized Copula. (2012). Okhrin, Ostap ; Fengler, Matthias.
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22. Does Basel II Pillar 3 Risk Exposure Data help to Identify Risky Banks?. (2012). Sabiwalsky, Ralf .
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    RePEc:hum:wpaper:sfb649dp2012-008.

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23. Margin Backtesting. (2012). Hurlin, Christophe ; Perignon, Christophe.
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24. The Risk Map: A New Tool for Validating Risk Models. (2012). Hurlin, Christophe ; Perignon, Christophe ; Colletaz, Gilbert.
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25. 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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26. Optimal portfolios with minimum capital requirements. (2012). Santos, Andre ; Ruiz, Esther ; van Dijk, Dick ; Santos, André A. P., ; Nogales, Francisco J..
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    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1928-1942.

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27. When more is less: Using multiple constraints to reduce tail risk. (2012). Yan, Shu ; Baptista, Alexandre ; Alexander, Gordon.
    In: Journal of Banking & Finance.
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28. THE STYLIZED FACTS OF ASSET RETURNS AND THEIR IMPACT ON VALUE-AT-RISK MODELS. (2012). Iorgulescu, Filip ; Filip, IORGULESCU .
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29. Financial contagion in developed sovereign bond markets. (2011). Metiu, Norbert.
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30. Financial Regulation in the Crisis Regulation, Market Discipline, Internal Control: The Big Three in turmoil. (2010). Couppey-Soubeyran, Jézabel.
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31. Risk management of precious metals. (2010). McAleer, Michael ; Hammoudeh, Shawkat ; Malik, F..
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32. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
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33. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
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34. It Pays to Violate: How Effective are the Basel Accord Penalties?. (2009). McAleer, Michael ; da Veiga, Bernardo ; Chan, Felix.
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35. Backtesting Parametric Value-at-Risk with Estimation Risk. (2007). Olmo, Jose ; Escanciano, Juan Carlos.
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36. Estimation risk effects on backtesting for parametric value-at-risk models. (2007). Olmo, Jose ; Escanciano, Juan Carlos.
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37. The hidden dangers of historical simulation. (2006). Pritsker, Matthew.
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38. Practical volatility and correlation modeling for financial market risk management. (2005). Diebold, Francis ; Christoffersen, Peter ; Bollerslev, Tim ; Andersen, Torben.
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39. The supervisors portfolio: the market price risk of German banks from 2001 to 2003 - Analysis and models for risk aggregation. (2005). Memmel, Christoph ; Wehn, Carsten.
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40. Estimating Bank Trading Risk: A Factor Model Approach. (2005). O'Brien, James ; Berkowitz, Jeremy .
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41. Bank Trading Risk and Systemic Risk. (2005). Jorion, Philippe.
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42. Term structure of risk under alternative econometric specifications. (2005). Guidolin, Massimo ; Timmerman, Allan.
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43. A review of backtesting and backtesting procedures. (2005). Campbell, Sean D..
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44. VaR is subject to a significant positive bias. (2005). Kitano, Atsushi ; Kijima, Masaaki ; Inui, Koji.
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45. Evaluating interest rate covariance models within a value-at-risk framework. (2004). Lopez, Jose ; Ferreira, Miguel.
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46. Bias of a Value-at-Risk estimator. (2004). Ullah, Aman ; Bao, Yong.
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47. What market risk capital reporting tells us about bank risk. (2003). Hirtle, Beverly.
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48. Capital and risk: new evidence on implications of large operational losses. (2003). Rosengren, Eric ; Jordan, John ; DeJesus-Rueff, Virginia ; de Fontnouvelle, Patrick .
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49. Backtesting Value-at-Risk: A Duration-Based Approach. (2003). Pelletier, Denis ; Christoffersen, Peter.
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50. The New Basel Capital Accord and Questions for Research. (). Schuermann, Til ; Saidenberg, Marc ; May, .
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