| Sensitivity analysis of portfolio volatility : importance of weights, sectors and impact of trading strategies
|
2007 |
Borgonovo, Emanuele |
| Model risk and financial derivatives
|
2007 |
Lhabitant, François-Serge |
| Evaluating value-at-risk estimates : a cross-section approach
|
2007 |
Zenti, Raffaele |
| An empirical study of time-varying return correlations and the efficient set of portfolios
|
2007 |
Jithendranathan, Thadavillil |
| Have volatility transmission patterns between the USA and Spain changed after September 11?
|
2007 |
|
| Incorporating diversification into risk management
|
2007 |
|
| The modeling of weather derivative portfolio risk
|
2007 |
Jewson, Stephen |
| Sequential procedures for monitoring covariances of asset returns
|
2007 |
Bodnar, Olha |
| The derivation of the NPV probability distribution of risky investments with autoregressive cash flows
|
2007 |
Paquin, Jean-Paul |
| Large and small cap stocks in Europe : covariance asymmetry, volatility spillovers and beta estimates
|
2007 |
Chuliá, Helena |
| On model selection and its impact on the hedging of financial derivatives
|
2007 |
Di Graziano, Giuseppe |
| Optimal investment with inflation-linked products
|
2007 |
Beletski, Taras |
| Impact of the collection threshold on the determination of the capital charge for operational risk
|
2007 |
Crama, Yves |
| Managing interest rate risk under non-parallel changes : an application of a two-factor model
|
2007 |
Moreno, Manuel |
| An essay on stochastic volatility and the yield curve
|
2007 |
Théoret, Raymond |
| Idiosyncratic risk, systematic risk and stochastic volatility : an implementation of Merton's credit risk valuation
|
2007 |
Gatfaoui, Hayette |
| A comparative analysis of dependence levels in intensity-based and Merton-style credit risk models
|
2007 |
Fermanian, Jean-David |
| Correlation breakdowns in asset management
|
2007 |
Bramante, Riccardo |
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