Dowd

swMATH25415CRANDowdMaRDI QIDQ37154FDOQ37154

Functions Ported from 'MMR2' Toolbox Offered in Kevin Dowd's Book Measuring Market Risk

Dinesh Acharya

Last update: 11 March 2016

Copyright license: GNU General Public License, version 3.0, GNU General Public License, version 2.0

Software version identifier: 0.12

Source code repository: https://github.com/cran/Dowd

Cited In (34)

• Pricing and risk management of interest rate swaps
• Computationally tractable counterparts of distributionally robust constraints on risk measures
• Interval estimation of value-at-risk based on GARCH models with heavy-tailed innovations
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• A Wavelet Based Multi Scale VaR Model for Agricultural Market
• How does the choice of Value-at-Risk estimator influence asset allocation decisions?
• Mortality-dependent financial risk measures
• Evaluating the goodness of fit of stochastic mortality models
• Approximation methods for multiple period Value at Risk and Expected Shortfall prediction
• Sensitivity of portfolio VaR and CVaR to portfolio return characteristics
• Value at risk linear exponent (VARLINEX) forecasts
• Modeling and solving portfolio selection problems based on PVaR
• Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
• Likelihood-based scoring rules for comparing density forecasts in tails
• Accurate value-at-risk forecasting based on the normal-GARCH model
• DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
• Robust valuation, arbitrage ambiguity and profit \& loss analysis
• Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
• Optimal feedback control of stock prices under credit risk dynamics
• Saddlepoint approximations for the doubly noncentral \(t\) distribution
• On risk management problems related to a coherence property
• A hybrid spline-based parametric model for the yield curve
• Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
• A New Variance Reduction Technique for Estimating Value-at-Risk
• Pulled-to-par returns for zero-coupon bonds historical simulation value at risk
• PVaR: A New Risk Measure for Financial Investments
• Online product returns risk assessment and management
• Measuring the risk of European carbon market: an empirical mode decomposition-based value at risk approach
• Dynamics of cluster structure in financial correlation matrix
• Bayesian parameter inference for models of the Black and Scholes type
• Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
• Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
• Efficient option risk measurement with reduced model risk
• DYNAMIC MEAN-VARIANCE PORTFOLIOS WITH RISK BUDGET

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