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8. Backtesting Parametric Value-at-Risk with Estimation Risk Abstract: One of the implications of the creation of Basel Committee on Banking Supervision was the implementation of Value-at-Risk (VaR) as t. (2007). Olmo, Jose ; Escanciano, Juan Carlos.
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1. Systematic stress tests with entropic plausibility constraints. (2013). Csiszar, Imre ; Breuer, Thomas.
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2. Aggregation of exponential smoothing processes with an application to portfolio risk evaluation. (2013). Silvestrini, Andrea ; Sbrana, Giacomo.
   In: Journal of Banking & Finance.
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3. Market crises and Basel capital requirements: Could Basel III have been different? Evidence from Portugal, Ireland, Greece and Spain (PIGS). (2013). Rossignolo, Adrian F. ; Shaban, Mohamed.
   In: Journal of Banking & Finance.
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4. Forecasting value-at-risk and expected shortfall using fractionally integrated models of conditional volatility: International evidence. (2013). Floros, Christos ; Degiannakis, Stavros ; Dent, Pamela .
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5. Pitfalls in backtesting Historical Simulation VaR models. (2012). Escanciano, Juan Carlos ; Pei, Pei.
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6. Efficient evaluation of multidimensional time-varying density forecasts, with applications to risk management. (2012). Stoja, Evarist ; Polanski, Arnold.
   In: International Journal of Forecasting.
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7. Value-at-Risk models and Basel capital charges. (2012). Rossignolo, Adrian F. ; Shaban, Mohamed.
   In: Journal of Financial Stability.
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8. Improving the value at risk forecasts: Theory and evidence from the financial crisis. (2012). Pohlmeier, Winfried ; Halbleib, Roxana.
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9. Specification tests of parametric dynamic conditional quantiles. (2010). Escanciano, Carlos J. ; Velasco, Carlos.
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10. Trading the forward bias: Are there limits to speculation?. (2010). Wagner, Christian ; Hochradl, Markus .
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11. First-passage probability, jump models, and intra-horizon risk. (2010). Panayotov, George ; Bakshi, Gurdip .
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12. Diversification and Value-at-Risk. (2010). Smith, Daniel ; Perignon, Christophe.
    In: Journal of Banking & Finance.
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13. Unintended consequences of the market risk requirement in banking regulation. (2010). Keppo, Jussi ; Meng, Xu ; Kofman, Leonard .
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14. Optimal Risk Management Before, During and After the 2008-09 Financial Crisis. (2009). perez-amaral, teodosio ; McAleer, Michael ; Jimenez-Martin, Juan ; PerezAmaral, Teodosio .
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15. The foreign exchange exposure of Chinese banks. (2009). Wong, Jim ; Leung, Phyllis .
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16. Il model risk nella gestione dei rischi di mercato.. (2008). Filagrana, Marco.
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17. Backtesting trading risk of commercial banks using expected shortfall. (2008). Wong, Woon.
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18. Interpreting Value at Risk (VaR) forecasts. (2008). Gregory, Allan ; Reeves, Jonathan J..
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19. Estimating Bank Trading Risk. A Factor Model Approach. (2007). O'Brien, James M. ; Berkowitz, Jeremy .
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20. La persistance dans les marchés financiers. (2007). Guegan, Dominique.
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21. La persistance dans les marchés financiers. (2007). GUEGAN, Dominique.
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22. Basels value-at-risk capital requirement regulation: An efficiency analysis. (2007). Kaplanski, Guy ; Levy, Haim.
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23. Interest Rate Risk in the Banking Book. (2006). Santos, Carlos ; Noorali, Sara .
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24. Financial Risks and the Pension Protection Fund: Can it Survive Them?. (2006). Dowd, Kevin ; cotter, john ; Blake, David.
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26. An analysis of the distribution of extremes in indices of share returns in the US, UK and Japan from 1963 to 2000. (2006). Sinclair, C. D. ; Brown, R. A. ; Gettinby, G. D. ; Power, D. M..
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27. From Fault Tree to Credit Risk Assessment: A Case Study. (2005). Gatfaoui, Hayette.
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28. Bank Trading Risk and Systemic Risk. (2005). Jorion, Philippe.
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29. Risk-adjusted performance measures at bank holding companies with section 20 subsidiaries. (2005). Geyfman, Victoria.
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30. Conditional autoregressive valu at risk by regression quantile: Estimatingmarket risk for major stock markets. (2005). Kouretas, Georgios ; Zarangas, Leonidas .
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31. Basel II: panacea or a missed opportunity?. (2004). Hall, Maximilian ; Maximilian J. B. Hall, .
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32. Traditional beta, downside risk beta and market risk premiums. (2004). Kaplanski, Guy.
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33. The impact of risk regulation on price dynamics. (2004). Zigrand, Jean-Pierre ; Shin, Hyun Song ; Danielsson, Jon.
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35. The subordinated debt alternative to Basel II. (2004). Herring, Richard J..
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39. Forecasting value at risk allowing for time variation in the variance and kurtosis of portfolio returns. (2002). Harris, Richard ; Guermat, Cherif ; Harris, Richard D. F., .
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41. How accurate are Value-at-Risk models at commercial banks?. (2001). O'Brien, James ; Berkowitz, Jeremy .
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42. Linear and nonlinear dependence in Turkish equity returns and its consequences for financial risk management. (2001). KÜÇÜKÖZMEN, CUMHUR ; Harris, Richard ; Harris, Richard D. F., .
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43. Ratings versus equity-based credit risk modelling: an empirical analysis. (2001). Varotto, Simone ; Perraudin, William ; Nickell, Pamela.
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44. Testing for market discipline in the European banking industry: evidence from subordinated debt issues. (2000). Sironi, Andrea.
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45. Incentives in an international bank. (2000). Kulpmann, Mathias.
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