create a website

Sensitivity Analysis of Values at Risk. (2000). Scaillet, Olivier ; gourieroux, christian ; Laurent, J. P..
In: Discussion Papers (IRES - Institut de Recherches Economiques et Sociales).
RePEc:ctl:louvir:2000002.

Full description at Econpapers || Download paper

Cited: 135

Citations received by this document

Cites: 0

References cited by this document

Cocites: 0

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Derivatives of Risk Measures. (2024). Gankhuu, Battulga.
    In: Papers.
    RePEc:arx:papers:2404.09646.

    Full description at Econpapers || Download paper

  2. Identifying scenarios for the own risk and solvency assessment of insurance companies. (2023). Aigner, Philipp.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:4823.

    Full description at Econpapers || Download paper

  3. Enhancing gradient capital allocation with orthogonal convexity scenarios. (2023). Schlutter, Sebastian ; Aigner, Philipp.
    In: ICIR Working Paper Series.
    RePEc:zbw:icirwp:4723.

    Full description at Econpapers || Download paper

  4. Portfolio Optimization with Relative Tail Risk. (2023). Kim, Young Shin.
    In: Papers.
    RePEc:arx:papers:2303.12209.

    Full description at Econpapers || Download paper

  5. .

    Full description at Econpapers || Download paper

  6. ARMA–GARCH model with fractional generalized hyperbolic innovations. (2022). Ik, Sung.
    In: Financial Innovation.
    RePEc:spr:fininn:v:8:y:2022:i:1:d:10.1186_s40854-022-00349-2.

    Full description at Econpapers || Download paper

  7. Proper use of the modified Sharpe ratios in performance measurement: rearranging the Cornish Fisher expansion. (2022). Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:313:y:2022:i:2:d:10.1007_s10479-020-03858-4.

    Full description at Econpapers || Download paper

  8. Portfolio optimization and marginal contribution to risk on multivariate normal tempered stable model. (2022). Kim, Young Shin.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:312:y:2022:i:2:d:10.1007_s10479-022-04613-7.

    Full description at Econpapers || Download paper

  9. A new approach to credit ratings. (2022). Uryasev, Stan ; Prokhorov, Artem ; Pertaia, Giorgi.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:140:y:2022:i:c:s0378426621000558.

    Full description at Econpapers || Download paper

  10. Sensitivity-implied tail-correlation matrices. (2022). Schlutter, Sebastian ; Paulusch, Joachim.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:134:y:2022:i:c:s0378426621002843.

    Full description at Econpapers || Download paper

  11. Avoiding zero probability events when computing Value at Risk contributions. (2022). Targino, Rodrigo ; Saporito, Yuri ; Koike, Takaaki.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:106:y:2022:i:c:p:173-192.

    Full description at Econpapers || Download paper

  12. Value?at?risk forecasting via dynamic asymmetric exponential power distributions. (2021). Zhao, Zhibiao ; Ou, LU.
    In: Journal of Forecasting.
    RePEc:wly:jforec:v:40:y:2021:i:2:p:291-300.

    Full description at Econpapers || Download paper

  13. Economic capital and RAROC in a dynamic model. (2021). Zanjani, George ; Bauer, Daniel.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:125:y:2021:i:c:s0378426621000297.

    Full description at Econpapers || Download paper

  14. Probabilistic sensitivity measures as information value. (2021). Plischke, Elmar ; Richmond, Victor ; Hazen, Gordon B ; Borgonovo, Emanuele.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:289:y:2021:i:2:p:595-610.

    Full description at Econpapers || Download paper

  15. Value at risk and return in Chinese and the US stock markets: Double long memory and fractional cointegration. (2021). Zhou, LI ; Huang, Yilong ; Xiao, Binuo ; Tan, Zhengxun.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:56:y:2021:i:c:s1062940821000115.

    Full description at Econpapers || Download paper

  16. Risk contributions of lambda quantiles. (2021). Pesenti, Silvana ; Peri, Ilaria ; Ince, Akif.
    In: Papers.
    RePEc:arx:papers:2106.14824.

    Full description at Econpapers || Download paper

  17. .

    Full description at Econpapers || Download paper

  18. Random LGD adjustments in the Vasicek credit risk model. (2020). Moreno, Manuel ; Garcia-Cespedes, Ruben .
    In: The European Journal of Finance.
    RePEc:taf:eurjfi:v:26:y:2020:i:18:p:1856-1875.

    Full description at Econpapers || Download paper

  19. Nonparametric kernel estimation of CVaR under $$\alpha $$?-mixing sequences. (2020). Luo, Zhongde.
    In: Statistical Papers.
    RePEc:spr:stpapr:v:61:y:2020:i:2:d:10.1007_s00362-017-0952-2.

    Full description at Econpapers || Download paper

  20. Risk-Based Loan Pricing: Portfolio Optimization Approach with Marginal Risk Contribution. (2020). Lejeune, Miguel ; Chun, So Yeon.
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:8:p:3735-3753.

    Full description at Econpapers || Download paper

  21. Portfolio Optimization on the Dispersion Risk and the Asymmetric Tail Risk. (2020). Kim, Young Shin.
    In: Papers.
    RePEc:arx:papers:2007.13972.

    Full description at Econpapers || Download paper

  22. Asymptotics for the linear kernel quantile estimator. (2019). Yang, Wenzhi ; Yu, Wei ; Wu, YI ; Wang, Xuejun ; Hu, Shuhe.
    In: TEST: An Official Journal of the Spanish Society of Statistics and Operations Research.
    RePEc:spr:testjl:v:28:y:2019:i:4:d:10.1007_s11749-019-00627-9.

    Full description at Econpapers || Download paper

  23. Noise Reduction of an Extinguishing Nozzle Using the Response Surface Method. (2019). Hwang, In-Ju ; Lee, Myoungwoo ; Kim, Yo-Hwan.
    In: Energies.
    RePEc:gam:jeners:v:12:y:2019:i:22:p:4346-:d:287158.

    Full description at Econpapers || Download paper

  24. Reverse sensitivity testing: What does it take to break the model?. (2019). Pesenti, Silvana M ; Tsanakas, Andreas ; Millossovich, Pietro.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:274:y:2019:i:2:p:654-670.

    Full description at Econpapers || Download paper

  25. Sectoral Risks in Vietnam and Malaysia A Comparative Analysis. (2019). Vo, Duc ; Pham, Trung Vu-Thanh ; van Tuan, Quang.
    In: Advances in Decision Sciences.
    RePEc:aag:wpaper:v:23:y:2019:i:1:p:62-87.

    Full description at Econpapers || Download paper

  26. Risk parity for Mixed Tempered Stable distributed sources of risk. (2018). Mercuri, Lorenzo ; Rroji, Edit.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:260:y:2018:i:1:d:10.1007_s10479-016-2394-y.

    Full description at Econpapers || Download paper

  27. Econometric Modeling of Risk Measures: A Selective Review of the Recent Literature. (2018). Fang, Ying ; Cai, Zongwu ; Tian, Dingshi.
    In: WORKING PAPERS SERIES IN THEORETICAL AND APPLIED ECONOMICS.
    RePEc:kan:wpaper:201807.

    Full description at Econpapers || Download paper

  28. On Exactitude in Financial Regulation: Value-at-Risk, Expected Shortfall, and Expectiles. (2018). Chen, James Ming.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:2:p:61-:d:150249.

    Full description at Econpapers || Download paper

  29. Interval Estimation of Value-at-Risk Based on Nonparametric Models. (2018). Strauss, Olivier ; Nehme, Bilal ; Khraibani, Hussein.
    In: Econometrics.
    RePEc:gam:jecnmx:v:6:y:2018:i:4:p:47-:d:189422.

    Full description at Econpapers || Download paper

  30. Application of Granularity Adjustment Approximation Method to Incremental Value-at-Risk in Concentrated Portfolios. (2018). Takata, YU.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:eb-18-00874.

    Full description at Econpapers || Download paper

  31. Value at risk (VaR) analysis for fat tails and long memory in returns. (2017). Gunay, Samet.
    In: Eurasian Economic Review.
    RePEc:spr:eurase:v:7:y:2017:i:2:d:10.1007_s40822-017-0067-z.

    Full description at Econpapers || Download paper

  32. An approximate multi-period Vasicek credit risk model. (2017). Moreno, Manuel ; Garcia-Cespedes, Ruben .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:81:y:2017:i:c:p:105-113.

    Full description at Econpapers || Download paper

  33. Sensitivity Analysis Using Risk Measures. (2016). Millossovich, Pietro ; Tsanakas, Andreas.
    In: Risk Analysis.
    RePEc:wly:riskan:v:36:y:2016:i:1:p:30-48.

    Full description at Econpapers || Download paper

  34. Hedge Fund Tail Risk: An investigation in stressed markets, extended version with appendix. (2016). Pelizzon, Loriana ; Billio, Monica ; Frattarolo, Lorenzo.
    In: Working Papers.
    RePEc:ven:wpaper:2016:01.

    Full description at Econpapers || Download paper

  35. Trading book and credit risk: How fundamental is the Basel review?. (2016). Laurent, Jean-Paul ; Thomas, Stephane ; Sestier, Michael .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:73:y:2016:i:c:p:211-223.

    Full description at Econpapers || Download paper

  36. The economic value of controlling for large losses in portfolio selection. (2016). Dias, Alexandra .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:72:y:2016:i:s:p:s81-s91.

    Full description at Econpapers || Download paper

  37. Conditional Value-at-Risk: Semiparametric estimation and inference. (2016). Wang, Chuan-Sheng ; Zhao, Zhibiao.
    In: Journal of Econometrics.
    RePEc:eee:econom:v:195:y:2016:i:1:p:86-103.

    Full description at Econpapers || Download paper

  38. Quantifying market risk with Value-at-Risk or Expected Shortfall? – Consequences for capital requirements and model risk. (2016). Kellner, Ralf ; Rosch, Daniel.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:68:y:2016:i:c:p:45-63.

    Full description at Econpapers || Download paper

  39. Testing for symmetry and conditional symmetry using asymmetric kernels. (2015). Scaillet, Olivier ; Fernandes, Marcelo ; Mendes, Eduardo .
    In: Annals of the Institute of Statistical Mathematics.
    RePEc:spr:aistmt:v:67:y:2015:i:4:p:649-671.

    Full description at Econpapers || Download paper

  40. Backtesting of Value at Risk Methodology: Analysis of Banking Shares in India. (2015). .
    In: Margin: The Journal of Applied Economic Research.
    RePEc:sae:mareco:v:9:y:2015:i:3:p:254-277.

    Full description at Econpapers || Download paper

  41. MEASURING OPERATIONAL RISK EXPOSURES IN ISLAMIC BANKING: A PROPOSED MEASUREMENT APPROACH. (2015). Izhar, Hylmun .
    In: Working Papers.
    RePEc:ris:irtiwp:1432_003.

    Full description at Econpapers || Download paper

  42. Simulating Risk Contributions of Credit Portfolios. (2015). Liu, Guangwu .
    In: Operations Research.
    RePEc:inm:oropre:v:63:y:2015:i:1:p:104-121.

    Full description at Econpapers || Download paper

  43. The credit-risk implications of home ownership promotion: The effects of public subsidies and adjustable-rate loans. (2015). Petey, Joël ; DIETSCH, Michel.
    In: Journal of Housing Economics.
    RePEc:eee:jhouse:v:28:y:2015:i:c:p:103-120.

    Full description at Econpapers || Download paper

  44. Which are the SIFIs? A Component Expected Shortfall approach to systemic risk. (2015). Dumitrescu, Elena Ivona ; BANULESCU-RADU, Denisa.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:50:y:2015:i:c:p:575-588.

    Full description at Econpapers || Download paper

  45. Interpretation and use of sensitivity in econometrics, illustrated with forecast combinations. (2015). Vasnev, Andrey ; Magnus, Jan R.
    In: International Journal of Forecasting.
    RePEc:eee:intfor:v:31:y:2015:i:3:p:769-781.

    Full description at Econpapers || Download paper

  46. Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models. (2015). Targino, Rodrigo ; Peters, Gareth W. ; Shevchenko, Pavel V..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:61:y:2015:i:c:p:206-226.

    Full description at Econpapers || Download paper

  47. Calculating systemic risk capital: A factor model approach. (2015). Pasiouras, Fotios ; Avramidis, Panagiotis.
    In: Journal of Financial Stability.
    RePEc:eee:finsta:v:16:y:2015:i:c:p:138-150.

    Full description at Econpapers || Download paper

  48. A portfolio-invariant capital allocation scheme penalizing concentration risk. (2015). Kao, Lie-Jane .
    In: Economic Modelling.
    RePEc:eee:ecmode:v:51:y:2015:i:c:p:560-570.

    Full description at Econpapers || Download paper

  49. Sequential Monte Carlo Samplers for capital allocation under copula-dependent risk models. (2015). Targino, Rodrigo ; Peters, Gareth W. ; Shevchenko, Pavel V..
    In: Papers.
    RePEc:arx:papers:1410.1101.

    Full description at Econpapers || Download paper

  50. A smoothing stochastic algorithm for quantile estimation. (2014). THIAM, Baba ; Amiri, Aboubacar.
    In: Statistics & Probability Letters.
    RePEc:eee:stapro:v:93:y:2014:i:c:p:116-125.

    Full description at Econpapers || Download paper

  51. Semiparametric estimation of multi-asset portfolio tail risk. (2014). Dias, Alexandra .
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:49:y:2014:i:c:p:398-408.

    Full description at Econpapers || Download paper

  52. The limits of granularity adjustments. (2014). Fermanian, Jean-David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:45:y:2014:i:c:p:9-25.

    Full description at Econpapers || Download paper

  53. Do LTV and DSTI caps make banks more resilient?. (2014). DIETSCH, Michel ; Welter-Nicol, C..
    In: Débats économiques et financiers.
    RePEc:bfr:decfin:13.

    Full description at Econpapers || Download paper

  54. Parametric Risk Parity. (2014). Mercuri, Lorenzo ; Rroji, Edit.
    In: Papers.
    RePEc:arx:papers:1409.7933.

    Full description at Econpapers || Download paper

  55. Value at risk estimation by quantile regression and kernel estimator. (2013). Huang, Alex .
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:41:y:2013:i:2:p:225-251.

    Full description at Econpapers || Download paper

  56. Granularity Adjustment for Regulatory Capital Assessment. (2013). Gordy, Michael ; Lutkebohmert, E..
    In: International Journal of Central Banking.
    RePEc:ijc:ijcjou:y:2013:q:3:a:2.

    Full description at Econpapers || Download paper

  57. Risk analysis with contractual default. Does covenant breach matter?. (2013). Borgonovo, Emanuele ; Gatti, Stefano.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:230:y:2013:i:2:p:431-443.

    Full description at Econpapers || Download paper

  58. Fuzzy possibilistic portfolio selection model with VaR constraint and risk-free investment. (2013). Li, Ting ; Xu, Weijun ; Zhang, Weiguo.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:31:y:2013:i:c:p:12-17.

    Full description at Econpapers || Download paper

  59. The Limits of Granularity Adjustments. (2013). Fermanian, Jean-David.
    In: Working Papers.
    RePEc:crs:wpaper:2013-27.

    Full description at Econpapers || Download paper

  60. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. (2012). Fabozzi, Frank ; Mignacca, Domenico ; Kim, Young Shin ; Rachev, Svetlozar T. ; Giacometti, Rosella.
    In: Working Paper Series in Economics.
    RePEc:zbw:kitwps:44.

    Full description at Econpapers || Download paper

  61. VaR limits for pension funds: an evaluation. (2012). Chumacero, Romulo ; Berstein, Solange.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:12:y:2012:i:9:p:1315-1324.

    Full description at Econpapers || Download paper

  62. Measuring financial risk and portfolio optimization with a non-Gaussian multivariate model. (2012). Fabozzi, Frank ; Giacometti, Rosella ; Kim, Young ; Mignacca, Domenico ; Rachev, Svetlozar.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:201:y:2012:i:1:p:325-343:10.1007/s10479-012-1229-8.

    Full description at Econpapers || Download paper

  63. Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach. (2012). Cornaglia, Anna ; Morone, Marco .
    In: MPRA Paper.
    RePEc:pra:mprapa:39119.

    Full description at Econpapers || Download paper

  64. Backtesting Value-at-Risk: From Dynamic Quantile to Dynamic Binary Tests. (2012). Dumitrescu, Elena Ivona ; Hurlin, Christophe ; Pham, Vinson .
    In: Working Papers.
    RePEc:hal:wpaper:halshs-00671658.

    Full description at Econpapers || Download paper

  65. Granularity adjustment for mark-to-market credit risk models. (2012). Marrone, James ; Gordy, Michael.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:36:y:2012:i:7:p:1896-1910.

    Full description at Econpapers || Download paper

  66. Simulating and calibrating diversification against black swans. (2012). de Vries, Casper ; Hyung, Namwon.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:8:p:1162-1175.

    Full description at Econpapers || Download paper

  67. Percentiles of sums of heavy-tailed random variables: Beyond the single-loss approximation. (2012). Alberto Su'arez, ; Santiago Carrillo-Men'endez, ; Lorenzo Hern'andez, ; Tejero, Jorge .
    In: Papers.
    RePEc:arx:papers:1203.2564.

    Full description at Econpapers || Download paper

  68. Evaluating the Precision of Estimators of Quantile-Based Risk Measures. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
    RePEc:ucd:wpaper:2007/43.

    Full description at Econpapers || Download paper

  69. Anti-takeover Provisions as a Source of Innovation and Value Creation. (2011). Humphery-Jenner, M.
    In: Other publications TiSEM.
    RePEc:tiu:tiutis:9eb6f6bf-8859-429e-a029-aeb784899c32.

    Full description at Econpapers || Download paper

  70. Anti-takeover Provisions as a Source of Innovation and Value Creation. (2011). Humphery-Jenner, M..
    In: Discussion Paper.
    RePEc:tiu:tiucen:9eb6f6bf-8859-429e-a029-aeb784899c32.

    Full description at Econpapers || Download paper

  71. Credibilistic value and average value at risk in fuzzy risk analysis. (2011). Peng, Jin.
    In: Fuzzy Information and Engineering.
    RePEc:spr:fuzinf:v:3:y:2011:i:1:d:10.1007_s12543-011-0067-8.

    Full description at Econpapers || Download paper

  72. Generalized marginal risk. (2011). Ardia, David ; KEEL, SIMON.
    In: Journal of Asset Management.
    RePEc:pal:assmgt:v:12:y:2011:i:2:d:10.1057_jam.2010.30.

    Full description at Econpapers || Download paper

  73. Measuring and testing for the systemically important financial institutions. (2011). Castro Iragorri, Carlos ; Ferrari, Stijn .
    In: DOCUMENTOS DE TRABAJO.
    RePEc:col:000092:008779.

    Full description at Econpapers || Download paper

  74. The Downside Risk of Heavy Tails induces Low Diversification. (2010). de Vries, Casper G. ; Hyung, Namwon.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20100082.

    Full description at Econpapers || Download paper

  75. Robustness and sensitivity analysis of risk measurement procedures. (2010). Scandolo, Giacomo ; Deguest, Romain ; Cont, Rama.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:10:y:2010:i:6:p:593-606.

    Full description at Econpapers || Download paper

  76. VaR Limits for Pension Funds: An Evaluation. (2010). Chumacero, Romulo ; Berstein, Solange.
    In: MPRA Paper.
    RePEc:pra:mprapa:22574.

    Full description at Econpapers || Download paper

  77. Nested Simulation in Portfolio Risk Measurement. (2010). Gordy, Michael ; Juneja, Sandeep.
    In: Management Science.
    RePEc:inm:ormnsc:v:56:y:2010:i:10:p:1833-1848.

    Full description at Econpapers || Download paper

  78. Nonparametric estimation of market risk: an application to agricultural commodity futures. (2010). Sam, Abdoul G..
    In: Agricultural Finance Review.
    RePEc:eme:afrpps:v:70:y:2010:i:2:p:285-297.

    Full description at Econpapers || Download paper

  79. Risk factor contributions in portfolio credit risk models. (2010). Rosen, Dan ; Saunders, David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:34:y:2010:i:2:p:336-349.

    Full description at Econpapers || Download paper

  80. Dependence structure of risk factors and diversification effects. (2010). Zhou, Chen.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:46:y:2010:i:3:p:531-540.

    Full description at Econpapers || Download paper

  81. How to measure single-name credit risk concentrations. (2010). Uberti, Pierpaolo ; Figini, Silvia .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:202:y:2010:i:1:p:232-238.

    Full description at Econpapers || Download paper

  82. Evaluating portfolio Value-at-Risk using semi-parametric GARCH models. (2009). Verbeek, Marno ; Rombouts, Jeroen.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:6:p:737-745.

    Full description at Econpapers || Download paper

  83. Capital allocation for credit portfolios with kernel estimators. (2009). Tasche, Dirk.
    In: Quantitative Finance.
    RePEc:taf:quantf:v:9:y:2009:i:5:p:581-595.

    Full description at Econpapers || Download paper

  84. An empirical central limit theorem with applications to copulas under weak dependence. (2009). Doukhan, Paul ; Fermanian, Jean-David ; Lang, Gabriel.
    In: Statistical Inference for Stochastic Processes.
    RePEc:spr:sistpr:v:12:y:2009:i:1:p:65-87.

    Full description at Econpapers || Download paper

  85. Generalized Marginal Risk. (2009). Ardia, David ; Keel, Simon .
    In: MPRA Paper.
    RePEc:pra:mprapa:17258.

    Full description at Econpapers || Download paper

  86. Models for Risk Aggregation and Sensitivity Analysis: An Application to Bank Economic Capital. (2009). Jacobs, Michael ; Inanoglu, Hulusi.
    In: JRFM.
    RePEc:gam:jjrfmx:v:2:y:2009:i:1:p:118-189:d:28366.

    Full description at Econpapers || Download paper

  87. Evaluating Portfolio Value-At-Risk Using Semi-Parametric GARCH Models. (2009). Verbeek, Marno ; Rombouts, J. V. K., ; Verbeek, M. J. C. M., .
    In: ERIM Report Series Research in Management.
    RePEc:ems:eureri:1833.

    Full description at Econpapers || Download paper

  88. Analytical methods for hedging systematic credit risk with linear factor portfolios. (2009). Rosen, Dan ; Saunders, David.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:1:p:37-52.

    Full description at Econpapers || Download paper

  89. Control and Out-of-Sample Validation of Dependent Risks. (2009). gourieroux, christian ; Liu, Wei.
    In: Journal of Risk & Insurance.
    RePEc:bla:jrinsu:v:76:y:2009:i:3:p:683-707.

    Full description at Econpapers || Download paper

  90. VaR Limits for Pension Funds: An Evaluation. (2008). Chumacero, Romulo ; Berstein, Solange.
    In: Working Papers.
    RePEc:sdp:sdpwps:26.

    Full description at Econpapers || Download paper

  91. Nested simulation in portfolio risk measurement. (2008). Gordy, Michael ; Juneja, Sandeep.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2008-21.

    Full description at Econpapers || Download paper

  92. Spectral risk measures and portfolio selection. (2008). Adam, Alexandre ; Houkari, Mohamed ; Laurent, Jean-Paul.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:32:y:2008:i:9:p:1870-1882.

    Full description at Econpapers || Download paper

  93. Coherent risk measures, coherent capital allocations and the gradient allocation principle. (2008). Buch, A. ; Dorfleitner, G..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:42:y:2008:i:1:p:235-242.

    Full description at Econpapers || Download paper

  94. Robust Value at Risk Prediction. (2007). Trojani, Fabio ; Mancini, Loriano.
    In: University of St. Gallen Department of Economics working paper series 2007.
    RePEc:usg:dp2007:2007-36.

    Full description at Econpapers || Download paper

  95. A Tractable Model to Measure Sector Concentration Risk in Credit Portfolios. (2007). Masschelein, Nancy ; Dullmann, Klaus .
    In: Journal of Financial Services Research.
    RePEc:kap:jfsres:v:32:y:2007:i:1:p:55-79.

    Full description at Econpapers || Download paper

  96. Portfolio selection with heavy tails. (2007). de Vries, Casper ; Hyung, Namwon.
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:14:y:2007:i:3:p:383-400.

    Full description at Econpapers || Download paper

  97. Sector concentration in loan portfolios and economic capital. (2006). Dullmann, Klaus ; Masschelein, Nancy .
    In: Discussion Paper Series 2: Banking and Financial Studies.
    RePEc:zbw:bubdp2:5156.

    Full description at Econpapers || Download paper

  98. On a relationship between distorted and spectral risk measures. (2006). Gzyl, Henryk ; Mayoral, Silvia.
    In: Faculty Working Papers.
    RePEc:una:unccee:wp1506.

    Full description at Econpapers || Download paper

  99. Sector Concentration in Loan Portfolios and Economic Capital. (2006). Dullmann, Klaus ; Masschelein, Nancy .
    In: Working Paper Research.
    RePEc:nbb:reswpp:200611-17.

    Full description at Econpapers || Download paper

  100. A general approach to integrated risk management with skewed, fat-tailed risks. (2006). Schuermann, Til ; Rosenberg, Joshua.
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:79:y:2006:i:3:p:569-614.

    Full description at Econpapers || Download paper

  101. Asset allocation in the Athens Stock Exchange: A variance sensitivity analysis. (2006). Kouretas, Georgios ; Zarangas, Leonidas ; Diamandis, Panayiotis.
    In: Working Papers.
    RePEc:crt:wpaper:0602.

    Full description at Econpapers || Download paper

  102. Sensitivity Analysis of Distortion Risk Measures. (2006). gourieroux, christian ; Christian Gourieroux ; Wei Liu, .
    In: Working Papers.
    RePEc:crs:wpaper:2006-33.

    Full description at Econpapers || Download paper

  103. Efficient Portfolio Analysis Using Distortion Risk Measures. (2006). gourieroux, christian ; Christian Gourieroux ; Wei Liu, .
    In: Working Papers.
    RePEc:crs:wpaper:2006-17.

    Full description at Econpapers || Download paper

  104. Portfolio Diversification Effects of Downside Risk. (2005). de Vries, Casper ; Hyung, Namwon.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20050008.

    Full description at Econpapers || Download paper

  105. Cuantificación de los Costos de los Limites de Inversión para los Fondos de Pensiones Chilenos. (2005). Chumacero, Romulo ; Berstein, Solange.
    In: Working Papers.
    RePEc:sdp:sdpwps:3.

    Full description at Econpapers || Download paper

  106. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2005). Verbeek, Marno ; Rombouts, Jeroen.
    In: Computing in Economics and Finance 2005.
    RePEc:sce:scecf5:40.

    Full description at Econpapers || Download paper

  107. Sensitivity analysis of VaR and Expected Shortfall for portfolios under netting agreements. (2005). Scaillet, Olivier ; Fermanian, Jean-David.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:29:y:2005:i:4:p:927-958.

    Full description at Econpapers || Download paper

  108. Value at risk methodology of international index portfolio under soft conditions (fuzzy-stochastic approach). (2005). Zmeškal, Zdeněk ; Zmeskal, Zdenek.
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:14:y:2005:i:2:p:263-275.

    Full description at Econpapers || Download paper

  109. Copulas of a Vector-Valued Stationary Weakly Dependent Process. (2005). Paul Doukhan ; Jean-David Fermanian ; Gabriel Lang, .
    In: Working Papers.
    RePEc:crs:wpaper:2005-48.

    Full description at Econpapers || Download paper

  110. Calculating credit risk capital charges with the one-factor model. (2005). Tasche, Dirk ; Emmer, Susanne .
    In: Papers.
    RePEc:arx:papers:cond-mat/0302402.

    Full description at Econpapers || Download paper

  111. Evaluating Portfolio Value-at-Risk using Semi-Parametric GARCH Models. (2004). Verbeek, Marno ; Rombouts, Jeroen.
    In: Cahiers de recherche.
    RePEc:iea:carech:0414.

    Full description at Econpapers || Download paper

  112. Dynamic Optimal Portfolio Selection in a VaR Framework. (2004). Rombouts, Jeroen ; Rengifo, E. W..
    In: Cahiers de recherche.
    RePEc:iea:carech:0405.

    Full description at Econpapers || Download paper

  113. Safety-first portfolio optimization for US investors in emerging global, Asian and Latin American markets. (2004). Varela, Oscar ; Hassan, M. Kabir ; Haque, Mahfuzul.
    In: Pacific-Basin Finance Journal.
    RePEc:eee:pacfin:v:12:y:2004:i:1:p:91-116.

    Full description at Econpapers || Download paper

  114. Risk based capital allocation. (2003). Albrecht, Peter .
    In: Papers.
    RePEc:mnh:spaper:2778.

    Full description at Econpapers || Download paper

  115. Nonparametric estimation of copulas for time series. (2003). Scaillet, Olivier ; Fermanian, Jean-David.
    In: Working Papers.
    RePEc:gnv:wpgsem:unige:41797.

    Full description at Econpapers || Download paper

  116. Quantifying the Costs of Investment Limits for Chilean Pension Funds. (2003). Chumacero, Romulo ; Berstein, Solange.
    In: EcoMod2004.
    RePEc:ekd:003306:330600038.

    Full description at Econpapers || Download paper

  117. A risk-factor model foundation for ratings-based bank capital rules. (2003). Gordy, Michael.
    In: Journal of Financial Intermediation.
    RePEc:eee:jfinin:v:12:y:2003:i:3:p:199-232.

    Full description at Econpapers || Download paper

  118. Risk capital allocation by coherent risk measures based on one-sided moments. (2003). Fischer, T..
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:32:y:2003:i:1:p:135-146.

    Full description at Econpapers || Download paper

  119. Disturbing extremal behavior of spot rate dynamics. (2003). Neftci, Salih N. ; Bali, Turan G..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:10:y:2003:i:4:p:455-477.

    Full description at Econpapers || Download paper

  120. Risk Management: An Interdisciplinary Framework. (2003). Tapiero, Charles.
    In: ESSEC Working Papers.
    RePEc:ebg:essewp:dr-03014.

    Full description at Econpapers || Download paper

  121. Quantifying the Costs of Investment Limits for Chilean Pension Funds. (2003). Chumacero, Romulo ; Berstein, Solange.
    In: Working Papers Central Bank of Chile.
    RePEc:chb:bcchwp:248.

    Full description at Econpapers || Download paper

  122. Disturbing Extremal Behavior of Spot Rate Dynamics. (2002). Neftci, Salih N. ; Bali, Turan G..
    In: ICMA Centre Discussion Papers in Finance.
    RePEc:rdg:icmadp:icma-dp2002-03.

    Full description at Econpapers || Download paper

  123. A risk-factor model foundation for ratings-based bank capital rules. (2002). Gordy, Michael.
    In: Finance and Economics Discussion Series.
    RePEc:fip:fedgfe:2002-55.

    Full description at Econpapers || Download paper

  124. Expected shortfall and beyond. (2002). Tasche, Dirk.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1519-1533.

    Full description at Econpapers || Download paper

  125. Conditional value-at-risk for general loss distributions. (2002). Uryasev, Stanislav ; Rockafellar, Tyrrell R..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:26:y:2002:i:7:p:1443-1471.

    Full description at Econpapers || Download paper

  126. Sensitivity analysis of volatility: a new tool for risk management. (2002). Manganelli, Simone ; Vecchiato, Walter ; Ceci, Vladimiro.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2002194.

    Full description at Econpapers || Download paper

  127. Credit Risk Contributions to Value-at-Risk and Expected Shortfall. (2002). Tasche, Dirk ; Kurth, Alexandre .
    In: Papers.
    RePEc:arx:papers:cond-mat/0207750.

    Full description at Econpapers || Download paper

  128. Expected Shortfall and Beyond. (2002). .
    In: Papers.
    RePEc:arx:papers:cond-mat/0203558.

    Full description at Econpapers || Download paper

  129. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: Center for Financial Institutions Working Papers.
    RePEc:wop:pennin:01-01.

    Full description at Econpapers || Download paper

  130. Modeling and Forecasting Realized Volatility. (2001). Diebold, Francis ; Bollerslev, Tim ; Andersen, Torben ; Labys, Paul .
    In: NBER Working Papers.
    RePEc:nbr:nberwo:8160.

    Full description at Econpapers || Download paper

  131. Portfolio selection with limited downside risk. (2000). Jansen, Dennis ; de Vries, Casper ; Koedijk, Kees G..
    In: Journal of Empirical Finance.
    RePEc:eee:empfin:v:7:y:2000:i:3-4:p:247-269.

    Full description at Econpapers || Download paper

References

References cited by this document

    This document has not been processed yet.

    You may help us by submiting the list of references

Cocites

Documents in RePEc which have cited the same bibliography

          This document has not co-citation data yet.

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-02-28 07:44:53 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.

pFad - Phonifier reborn

Pfad - The Proxy pFad of © 2024 Garber Painting. All rights reserved.

Note: This service is not intended for secure transactions such as banking, social media, email, or purchasing. Use at your own risk. We assume no liability whatsoever for broken pages.


Alternative Proxies:

Alternative Proxy

pFad Proxy

pFad v3 Proxy

pFad v4 Proxy