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Search Result for: (VaR)
Document Title Author Issue Date
Randomly Weighted Sums of Subexponential Random .. [Tang, Qihe][Yuan, Zhongyi] 8-31-2014
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
Multivariate Modelling of 10-Day-Ahead VaR and D.. [Kiohos, Apostolos][Degiannakis, Stavros] 8-17-2014
Superquantile/CVaR Risk Measures: Second-Order T.. [Rockafellar, R. Tyrrell][Royset, Johannes O.] 8-12-2014
GlueVaR Risk Measures in Capital Allocation Appl.. [Guillen, Monserrat][Belles-Sampera, Jaume][Santolino, Miguel] 7-31-2014
Efficient VaR and Expected Shortfall Computation.. [Oosterlee, Cornelis W.][Ortiz-Gracia, Luis] 7-19-2014
Value-at-Risk and Credit VaR [Choudhry, Moorad][Wong, Max C. Y.][Liu, Zhuoshi][Moskovic, David][Baig, Suleman][Lizzio, Michele][Voicu, Alexandru] 7-6-2014
VaR Prediction for Emerging Stock Markets: GARCH.. [Ergen, Ibrahim] 7-5-2014
An Evaluation of Bank VaR Measures for Market Ri.. [OBrien, James][Szerszen, Pawel] 7-5-2014
Capital Allocation Based on the Tail Covariance .. [Wang, Min] 7-4-2014
Backtesting VaR in Consideration of the Higher M.. [Chuang, Shuo-Li][Chuang, Chung-Chu][Wang, Yi-Hsien][Yeh, Tsai-Jung] 6-29-2014
Empirical Investigation and Comparison of Normal.. [Terzic, Ivica][Jeremic, Zoran] 6-22-2014
On Some Properties of Two Vector-Valued VaR and .. [Hurlimann, Werner] 6-22-2014
Forecasting VaR Using Analytic Higher Moments fo.. [Alexander, Carol][Lazar, Emese][Stanescu, Silvia] 6-20-2014
Measuring Systemic Risk in the European Banking .. [Nomikos, Nikos][Karimalis, Emmanouil] 5-31-2014
A Note on Nonparametric Estimation of Bivariate .. [Bucher, Axel] 5-31-2014
Evaluating Market Risk Assessment through VAR Ap.. [Shams, Mirfeiz Fallah][Sina, Afsaneh] 5-31-2014
Robust Variants of Cornish-Fischer Approximation.. [Hurlimann, Werner] 5-26-2014
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