| VAR risk measures vs. traditional risk measures: an analysis and survey
|
2004 |
Kaplanski, Guy |
| Risk estimation using the normal inverse Gaussian distribution
|
2004 |
Venter, Johannes H. |
| Using value-at-risk to control risk taking: how wrong can you be?
|
2004 |
Ju, Xiongwei |
| Decomposing portfolio value-at-risk: a general analysis
|
2004 |
Hallerbach, Winfried G. |
| The most general methodology for creating a valid correlation matrix for risk management and option pricing purposes
|
2004 |
Rebonato, Riccardo |
| Optimization of conditional value-at-risk
|
2004 |
Rockafellar, R. Tyrrell |
| Evaluating covariance matrix forecasts in a value-at-risk framework
|
2004 |
Lopez, Jose A. |
| A stress test to incorporate correlation breakdown
|
2004 |
Kim, Jongwoo |
| Optimal execution of portfolio transactions
|
2004 |
Almgren, Robert |
| Evaluation of credit risk of a portfolio with stochastic interest rate and default processes
|
2004 |
Kijima, Masaaki |
| Pricing corporate bonds with dynamic default barriers
|
2004 |
Hui, Cho-Hoi |
| Incorporating volatility updating into the historical simulation method for value-at-risk
|
2004 |
Hull, John |
| Regulatory evaluation of value-at-risk models
|
2004 |
Lopez, Jose A. |
| Improving grid-based methods for estimating value-at-risk of fixed-income portfolios
|
2004 |
Gibson, Michael S. |
| Estimating expected losses and liquidity discounts implicit in debt prices
|
2004 |
Janosi, Tibor |
| Incorporating severity variations into credit risk
|
2004 |
Bürgisser, Peter |
| Evaluating credit risk models using loss density forecasts
|
2004 |
Frerichs, Hergen |
| Measuring risk-adjusted performance
|
2004 |
Crouhy, Michel |
| Fallacies about the effects of market risk management systems
|
2004 |
Jorion, Philippe |
| A coherent framework for stress testing
|
2004 |
Berkowitz, Jeremy |
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