Cited in
(39)- 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
- scientific article; zbMATH DE number 6266452 (Why is no real title available?)
- A Wavelet Based Multi Scale VaR Model for Agricultural Market
- A new variance reduction technique for estimating value-at-risk
- How does the choice of Value-at-Risk estimator influence asset allocation decisions?
- PVaR: a new risk measure for financial investments
- 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
- Dynamic mean-variance portfolios with risk budget
- Value at risk linear exponent (VARLINEX) forecasts
- Nested dynamic network data envelopment analysis models with infinitely many decision making units for portfolio evaluation
- Modeling and solving portfolio selection problems based on PVaR
- Likelihood-based scoring rules for comparing density forecasts in tails
- Accurate value-at-risk forecasting based on the normal-GARCH model
- Robust valuation, arbitrage ambiguity and profit \& loss analysis
- DOES THE APPLICATION OF INNOVATIVE INTERNAL MODELS DIMINISH REGULATORY CAPITAL?
- CAViaR
- LifeMetrics
- evt0
- CreditRisk+
- RiskMetrics
- Modelling small and medium enterprise loan defaults as rare events: the generalized extreme value regression model
- Saddlepoint approximations for the doubly noncentral t distribution
- Optimal feedback control of stock prices under credit risk dynamics
- A hybrid spline-based parametric model for the yield curve
- On risk management problems related to a coherence property
- Portfolio value-at-risk and expected-shortfall using an efficient simulation approach based on Gaussian mixture model
- Pulled-to-par returns for zero-coupon bonds historical simulation value at risk
- 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
- Statistical models for the Basel II internal ratings-based approach to measuring credit risk of retail products
- Confidence intervals for ARMA-GARCH value-at-risk: the case of heavy tails and skewness
- Efficient option risk measurement with reduced model risk
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