1. The Fundamental Review of the Trading Book: Implications for Portfolio and Risk Management in the Banking Sector. (2023). Cummins, Mark ; McCullagh, Orla ; Killian, Sheila.
   In: Journal of Money, Credit and Banking.
   RePEc:wly:jmoncb:v:55:y:2023:i:7:p:1785-1816.

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2. Mean-Variance-VaR portfolios: MIQP formulation and performance analysis. (2023). Tardella, Fabio ; Martino, Manuel L ; Cesarone, Francesco.
   In: OR Spectrum: Quantitative Approaches in Management.
   RePEc:spr:orspec:v:45:y:2023:i:3:d:10.1007_s00291-023-00719-x.

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3. Decoupling VaR and regulatory capital: an examination of practitioners’ experience of market risk regulation. (2023). Killian, Sheila ; Cummins, Mark ; McCullagh, Orla.
   In: Journal of Banking Regulation.
   RePEc:pal:jbkreg:v:24:y:2023:i:3:d:10.1057_s41261-022-00199-z.

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4. Portfolio constructions in cryptocurrency market: A CVaR-based deep reinforcement learning approach. (2023). Zhang, Yongmin ; Jin, Huan ; Ding, Shusheng ; Cui, Tianxiang.
   In: Economic Modelling.
   RePEc:eee:ecmode:v:119:y:2023:i:c:s0264999322003157.

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5. Real-time VaR Calculations for Crypto Derivatives in kdb+/q. (2023). Kerr, Laura ; Hales, Conan ; Bilokon, Paul ; Chen, Yutong.
   In: Papers.
   RePEc:arx:papers:2309.06393.

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6. .

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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.

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8. The influence of risk perception on energy efficiency investments: Evidence from a German survey. (2022). Ahlrichs, Jakob ; Wiethe, Christian ; Wenninger, Simon ; Rockstuhl, Sebastian.
   In: Energy Policy.
   RePEc:eee:enepol:v:167:y:2022:i:c:s0301421522002580.

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9. Portfolio analysis with mean-CVaR and mean-CVaR-skewness criteria based on mean-variance mixture models. (2021). Hu, Dongdong ; He, Kai ; Abudurexiti, Nuerxiati ; Sun, Ruoyu ; Sayit, Hasanjan ; Rachev, Svetlozar T.
   In: Papers.
   RePEc:arx:papers:2111.04311.

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10. Bayesian Quantile-Based Portfolio Selection. (2020). Lindholm, Mathias ; Bodnar, Taras ; Thors, Erik ; Niklasson, Vilhelm.
    In: Papers.
    RePEc:arx:papers:2012.01819.

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11. Computation of the corrected Cornish–Fisher expansion using the response surface methodology: application to VaR and CVaR. (2019). Barthélémy, Fabrice ; Maillard, Didier ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:281:y:2019:i:1:d:10.1007_s10479-018-2792-4.

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12. Ex-ante real estate Value at Risk calculation method. (2018). Barthélémy, Fabrice ; Amedee-Manesme, Charles-Olivier.
    In: Annals of Operations Research.
    RePEc:spr:annopr:v:262:y:2018:i:2:d:10.1007_s10479-015-2046-7.

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13. A Credit-Risk Valuation under the Variance-Gamma Asset Return. (2018). Ivanov, Roman V.
    In: Risks.
    RePEc:gam:jrisks:v:6:y:2018:i:2:p:58-:d:147258.

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14. 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.

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15. On risk measuring in the variance-gamma model. (2018). Roman, Ivanov .
    In: Statistics & Risk Modeling.
    RePEc:bpj:strimo:v:35:y:2018:i:1-2:p:23-33:n:2.

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16. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Hassani, Bertrand K ; Li, Kehan.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:16034rr.

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17. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Li, Kehan ; Hassani, Bertrand ; Guegan, Dominique.
    In: Post-Print.
    RePEc:hal:journl:halshs-01317391.

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18. Measuring risks in the extreme tail: The extreme VaR and its confidence interval. (2017). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01317391.

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19. Computation of the Corrected Cornish-Fisher Expansion using the Response Surface Methodology: Application to V aR and CV aR. (2017). Barthélémy, Fabrice ; Maillard, Didier ; Amedee-Manesme, Charles-Olivier.
    In: THEMA Working Papers.
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20. Robust multivairiate extreme value at risk allocation. (2017). Belbachir, M ; Belhajjam, A ; el Ouardirhi, S.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:23:y:2017:i:c:p:1-11.

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21. Mean-VaR portfolio optimization: A nonparametric approach. (2017). Lwin, Khin T ; MacCarthy, Bart L ; Qu, Rong .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:260:y:2017:i:2:p:751-766.

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22. Capturing the intrinsic uncertainty of the VaR: Spectrum representation of a saddlepoint approximation for an estimator of the VaR. (2016). Li, Kehan ; Hassani, Bertrand K ; Guegan, Dominique.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
    RePEc:mse:cesdoc:16034r.

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23. A robust confidence interval of historical Value-at-Risk for small sample. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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24. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Hassani, Bertrand K ; Guegan, Dominique ; Li, Kehan.
    In: Documents de travail du Centre d'Economie de la Sorbonne.
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25. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Li, Kehan ; Guegan, Dominique ; Hassani, Bertrand K.
    In: Post-Print.
    RePEc:hal:journl:halshs-01277880.

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26. Uncertainty in historical Value-at-Risk: an alternative quantile-based risk measure. (2016). Guegan, Dominique ; Li, Kehan ; Hassani, Bertrand K.
    In: Université Paris1 Panthéon-Sorbonne (Post-Print and Working Papers).
    RePEc:hal:cesptp:halshs-01277880.

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27. The Foreign Exchange Exposure of Domestic Companies in Eurozone: Case of the Baltic States. (2016). Rupeika-Apoga, Ramona ; Nedovis, Roberts .
    In: European Research Studies Journal.
    RePEc:ers:journl:v:xix:y:2016:i:1:p:165-178.

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28. Model Risk in Financial Markets:From Financial Engineering to Risk Management. (2015). Tunaru, Radu.
    In: World Scientific Books.
    RePEc:wsi:wsbook:9524.

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29. Minimizing Basel III Capital Requirements with Unconditional Coverage Constraint. (2015). Kleinknecht, Manuel ; Ng, Wing Lon.
    In: Intelligent Systems in Accounting, Finance and Management.
    RePEc:wly:isacfm:v:22:y:2015:i:4:p:263-281.

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30. Using Value-at-Risk to reconcile limited liability and the moral-hazard problem. (2015). Weinrich, Gerd ; Tulli, Vanda.
    In: Decisions in Economics and Finance.
    RePEc:spr:decfin:v:38:y:2015:i:1:p:93-118.

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31. Cornish-Fisher Expansion for Commercial Real Estate Value at Risk. (2015). Barthélémy, Fabrice ; Keenan, Donald ; Barthelemy, Fabrice ; Amedee-Manesme, Charles-Olivier.
    In: The Journal of Real Estate Finance and Economics.
    RePEc:kap:jrefec:v:50:y:2015:i:4:p:439-464.

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32. The Foreign Exchange Exposure of Non-Financial Companies in Eurozone: Myth or Reality?. (2015). Rupeika-Apoga, Ramona ; Nedovis, Roberts .
    In: International Journal of Economics & Business Administration (IJEBA).
    RePEc:ers:ijebaa:v:iii:y:2015:i:1:p:54-66.

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33. Sensitivity of Value at Risk estimation to NonNormality of returns and Market capitalization. (2014). Sinha, Pankaj ; Agnihotri, Shalini .
    In: MPRA Paper.
    RePEc:pra:mprapa:56307.

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34. Risk models-at-risk. (2014). Maillet, Bertrand ; Danielsson, Jon ; Kouontchou, Patrick S. ; Boucher, Christophe M..
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:44:y:2014:i:c:p:72-92.

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35. Quantifying the uncertainty in VaR and expected shortfall estimates. (2013). Tunaru, Radu ; Stanescu, Silvia .
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36. Risk models–at–risk. (2013). Maillet, Bertrand ; Danielsson, Jon ; Boucher, Christophe M. ; Kouontchou, Patrick S..
    In: LSE Research Online Documents on Economics.
    RePEc:ehl:lserod:59299.

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37. Market capitalization and Value-at-Risk. (2013). Dias, Alexandra .
    In: Journal of Banking & Finance.
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38. Entropic Value-at-Risk: A New Coherent Risk Measure. (2012). Ahmadi-Javid, A.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:155:y:2012:i:3:d:10.1007_s10957-011-9968-2.

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39. Risk Management in Trading and Investment Portfolios. (2012). .
    In: Journal of Emerging Market Finance.
    RePEc:sae:emffin:v:11:y:2012:i:2:p:189-229.

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40. EVALUATION OF MULTI-ASSET VALUE AT RISK: EVIDENCE FROM TAIWAN. (2012). Wu, Po-Cheng ; Lee, Chih-Wei ; Kuo, Cheng-Kun.
    In: Global Journal of Business Research.
    RePEc:ibf:gjbres:v:6:y:2012:i:4:p:23-34.

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41. International Equity Portfolio Risk Modeling: The Case of the NIG Model and Ordinary Copula Functions. (2012). Kresta, Ale ; Tich, Toma.
    In: Czech Journal of Economics and Finance (Finance a uver).
    RePEc:fau:fauart:v:62:y:2012:i:2:p:141-161.

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42. Evaluating the Precision of Estimators of Quantile-Based Risk Measures. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
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43. Estimating Financial Risk Measures for Futures Positions:A Non-Parametric Approach. (2011). cotter, john ; Dowd, Kevin.
    In: Working Papers.
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44. Reliability and decomposition techniques to solve certain class of stochastic programming problems. (2011). Mnguez, R ; Garca-Bertrand, R ; Conejo, A J.
    In: Reliability Engineering and System Safety.
    RePEc:eee:reensy:v:96:y:2011:i:2:p:314-323.

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45. Relationship between portfolio diversification and value at risk: Empirical evidence. (2011). Kiani, Khurshid.
    In: Emerging Markets Review.
    RePEc:eee:ememar:v:12:y:2011:i:4:p:443-459.

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46. Performance and conservatism of monthly FHS VaR: An international investigation. (2010). Coggins, Frank ; Chretien, Stephane .
    In: International Review of Financial Analysis.
    RePEc:eee:finana:v:19:y:2010:i:5:p:323-333.

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47. Estimating financial risk measures for futures positions: a non-parametric approach. (2007). Dowd, Kevin ; cotter, john.
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48. Maximizing the Growth Rate under Risk Constraints. (2007). Zitkovic, Gordan ; Pirvu, Traian A..
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49. Don’t Fall from the Saddle: the Importance of Higher Moments of Credit Loss Distributions. (2006). LAMOOT, J. ; Annaert, J. ; LANINE, G. ; Crispiniano Garcia Joao Batista, .
    In: Working Papers of Faculty of Economics and Business Administration, Ghent University, Belgium.
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50. The hidden dangers of historical simulation. (2006). Pritsker, Matthew.
    In: Journal of Banking & Finance.
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51. Scenario Based Principal Component Value-at-Risk: an Application to Italian Banks Interest Rate Risk Exposure. (2006). Fiori, Roberta ; Iannotti, Simonetta .
    In: Temi di discussione (Economic working papers).
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52. A review of backtesting and backtesting procedures. (2005). Campbell, Sean D..
    In: Finance and Economics Discussion Series.
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53. Countrymetrics and economic performance evaluation of countries.A systemic approach. (2004). Coccia, Mario.
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54. Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach. (2003). El Ghaoui, Laurent ; Oustry, Francois ; Oks, Maksim .
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55. Applying Operations Research Techniques to Financial Markets. (2003). Sutcliffe, Charles ; Board, John ; Ziemba, William T.
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56. 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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57. The practice of Delta-Gamma VaR: Implementing the quadratic portfolio model. (2003). Castellacci, Giuseppe ; Siclari, Michael J..
    In: European Journal of Operational Research.
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58. Backtesting Value-at-Risk: A Duration-Based Approach. (2003). Pelletier, Denis ; Christoffersen, Peter.
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59. VaR. (2002). Smithson, Charles ; Pearson, Neil D.
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60. Internal Models-Based Capital Regulation and Bank Risk-Taking Incentives. (2002). Kupiec, Paul.
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61. Calibrating Your Intuition; Capital Allocation for Market and Credit Risk. (2002). Kupiec, Paul.
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62. VaR: The state of play. (2002). Smithson, Charles ; Pearson, Neil D..
    In: Review of Financial Economics.
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63. Conditional value-at-risk for general loss distributions. (2002). Uryasev, Stanislav ; Rockafellar, Tyrrell R..
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64. GARCH vs. stochastic volatility: Option pricing and risk management. (2002). Lehar, Alfred ; Schittenkopf, Christian ; Scheicher, Martin.
    In: Journal of Banking & Finance.
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65. How Accurate Are Value?at?Risk Models at Commercial Banks?. (2002). Berkowitz, Jeremy.
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66. How accurate are Value-at-Risk models at commercial banks?. (2001). O'Brien, James ; Berkowitz, Jeremy .
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67. The hidden dangers of historical simulation. (2001). Pritsker, Matthew.
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68. Incorporating event risk into value-at-risk. (2001). Gibson, Michael S..
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69. Improving grid-based methods for estimating value at risk of fixed-income portfolios. (2000). Pritsker, Matthew ; Gibson, Michael S..
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70. Evaluating the forecasts of risk models. (1999). Berkowitz, Jeremy .
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71. Methods for evaluating value-at-risk estimates. (1999). Lopez, Jose.
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72. The implications of risk management information systems for the organization of financial firms. (1998). Gibson, Michael S..
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73. Information systems for risk management. (1997). Gibson, Michael S..
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1. Fallon, William. “Calculating Value at Risk.†Mimeo, Columbia University, January 22, 1996.

2. Jordan, James V., and Robert J. Mackay. “Assessing Value at Risk for Equity Portfolios: Implementing Alternative Techniques.†Mimeo, Center for Study of Futures and Options Markets, Pamplin College of Business, Virginia Polytechnic, July 1995.
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1. 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.

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2. Estimating risks of option books using neural-SDE market models. (2022). Cohen, Samuel N ; Wang, Sheng ; Reisinger, Christoph.
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3. To VaR, or Not to VaR, That is the Question. (2021). Olkhov, Victor.
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4. THE USE OF A VALUE AT RISK MEASURE FOR THE ANALYSIS OF BANK INTEREST MARGINS. (2012). Gemzik-Salwach, Agata .
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5. An Evaluation of the Risk Management Practices of Commercial Banks in North Cyprus. (2010). Jenkins, Hatice ; Halili, Kesjana .
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6. DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?. (2006). Kalyvas, Lampros ; Sfetsos, Athanasios .
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7. Commercial Bank Risk Management: An Analysis of the Process. (1997). Santomero, Anthony M..
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8. Commercial Bank Risk Management: An Analysis of the Process. (1997). Santomero, Anthony.
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9. Evaluating Value at Risk Methodologies: Accuracy versus Computational Time. (1997). Pritsker, Matthew.
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10. Evaluating Value-at-Risk Methodologies: Accuracy versus Computational Time. (1996). Pritsker, Matthew.
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