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Search Result for: (VaR)
Document Title Author Issue Date
Market Value-at-Risk: ROM Simulation, Cornish-Fi.. [Hurlimann, Werner] 5-26-2014
Lessons from the Subprime and Sovereign Debt Cri.. [del Brio, Esther][Mora, Andres][Perote, Javier] 5-25-2014
Optimal Trade Execution: A Mean Quadratic Variat.. [Forsyth, Peter A.][Tse, S.T.][Kennedy, J. Shannon][Windcliff, Heath] 5-24-2014
Calculating the Funding Valuation Adjustment (FV.. [Kenyon, Chris][Green, Andrew] 5-18-2014
Optimal Execution Strategy under Arithmetic Brow.. [Di Persio, Luca][Benazzoli, Chiara] 5-18-2014
Scale-Invariant Divergences for Density Function.. [Kanamori, Takafumi] 5-18-2014
The Application of the Method Environmental Valu.. [Piciu, Gabriela] 5-1-2014
Value at Risk (VaR) Backtesting Techniques and P.. [Shirazi, Ali] 4-24-2014
Extreme Dependence for Multivariate Data [Galichon, Alfred][Bosc, Damian] 4-9-2014
Portfolio Choices and VaR Constraint with a Defa.. [Barucci, Emilio][Cosso, Andrea] 4-9-2014
Spatial Risk Measures and Their Local Specificat.. [Follmer, Hans] 3-9-2014
CVaR-Based Optimal Partial Hedging [Cong, Jianfa][Tan, Ken Seng][Weng, Chengguo] 3-2-2014
VaR-based Optimal Partial Hedging [Tan, Ken Seng][Weng, Chengguo][Cong, Jianfa] 3-2-2014
Dynamic Mean-LPM and Mean-CVaR Portfolio Optimiz.. [Gao, Jianjun][Li, Duan][Zhou, Ke][Cao, Xiren] 3-2-2014
On Multivariate Extensions of Conditional-Tail-E.. [Cousin, Areski][Di Bernardino, Elena] 2-26-2014
Does Tail Dependence Make A Difference in the Es.. [Jiang, Chuanliang] 2-18-2014
Multivariate Risk Models under Heavy-Tailed Risk.. [Weng, Chengguo][Zhang, Yi][Huang, Wei] 2-13-2014
Convex Risk Measures: Basic Facts, Law-invarianc.. [Follmer, Hans][Knispel, Thomas] 2-11-2014
Optimal Reinsurance with Concave Ceded Loss Func.. [Lu, ZhiYi][Liu, LePing][Meng, ShengWang] 2-2-2014
Mean-VAR Model with Stochastic Volatility [Ali, Hanen Ould][Jilani, Faouzi] 1-28-2014
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