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VaR Methods
Document Title Author Issue Date
An Analysis of a Heuristic Procedure to Evaluate.. [Ferreira, Marta][Silva, Sergio] 12-24-2014
The Maximum of Randomly Weighted Sums with Long .. [Ng, Kai W.][Yuen, K.C.] 9-1-2014
Approximation of the Tail Probability of Randoml.. [Zhang, Yi][Weng, Chengguo][Shen, Xinmei] 9-1-2014
A Two-Regime Threshold Model with Conditional Sk.. [Massacci, Daniele] 8-31-2014
Nonparametric Inference on Quantile Marginal Eff.. [Kaplan, David M.] 8-26-2014
Forecasting VaR and ES of Stock Index Portfolio:.. [Wei, Yu][Zhang, Bangzheng][Yu, Jiang][Lai, Xiaodong][Peng, Zhengeng] 8-25-2014
Robust Conditional Variance and Value-at-Risk Es.. [Dupuis, Debbie J.][Papageorgiou, Nicolas][Remillard, Bruno] 8-20-2014
Two-Step Methods in VaR Prediction and the Impor.. [Ergen, Ibrahim] 8-20-2014
Bayesian Expected Shortfall Forecasting Incorpor.. [Gerlach, Richard][Chen, Cathy W. S.] 8-17-2014
“Spectral Risk Measures: Properties and Limitati.. [Brandtner, Mario] 8-17-2014
Kusuoka Representations of Coherent Risk Measure.. [Noyan, Nilay][Rudolf, Gabor] 8-12-2014
Efficient Estimation of Extreme Value-at-Risks f.. [He, Zhongfang] 8-12-2014
Superquantile/CVaR Risk Measures: Second-Order T.. [Rockafellar, R. Tyrrell][Royset, Johannes O.] 8-12-2014
Measuring the Risk of a Non-Linear Portfolio wit.. [Date, Paresh][Bustreo, Roberto] 8-12-2014
Upper Bounds on Value-at-Risk for the Maximum Po.. [Yuen, Robert][Stoev, Stilian] 8-11-2014
Managing Risk with a Realized Copula Parameter [Fengler, Matthias][Okhrin, Ostap] 8-3-2014
Estimating Liquidity Risk Using the Exposure-Bas.. [Yan, Meilan][Hall, Maximilian JB][Turner, Paul] 8-2-2014
Financial Institutions Externalities and Systemi.. [ben Hadj, Saifeddine] 7-31-2014
Modelling and Forecasting Value at Risk and Expe.. [Aloui, Chaker][ben Hamida, Hela] 7-31-2014
GlueVaR Risk Measures in Capital Allocation Appl.. [Guillen, Monserrat][Belles-Sampera, Jaume][Santolino, Miguel] 7-31-2014
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