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Journal of risk management in financial institutions
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f-Betas and portfolio optimization with f-divergence induced risk measures
Ding, Rui
- In:
Quantitative finance
23
(
2023
)
10
,
pp. 1483-1496
Persistent link: https://www.econbiz.de/10014419172
Saved in:
2
Opinion pieces : on data and models : is more always better?
Wilson, Thomas Charles
- In:
Journal of risk management in financial institutions
17
(
2023
)
1
,
pp. 7-12
Persistent link: https://www.econbiz.de/10014489150
Saved in:
3
The generation of synthetic data for risk modelling
Hurst, James
;
Mayorov, Kirill
;
Tatsinkou, Joseph …
- In:
Journal of risk management in financial institutions
15
(
2021/2022
)
3
,
pp. 260-269
Persistent link: https://www.econbiz.de/10013391978
Saved in:
4
Tile test for back-testing risk evaluation
Zumbach, Gilles O.
- In:
Quantitative finance
21
(
2021
)
10
,
pp. 1605-1619
Persistent link: https://www.econbiz.de/10012653703
Saved in:
5
Lost in noise? : some thoughts on the use of machine learning in financial market risk measurement
Quell, Peter
- In:
Journal of risk management in financial institutions
17
(
2023
)
1
,
pp. 43-52
Persistent link: https://www.econbiz.de/10014489153
Saved in:
6
Kurtosis-based risk parity : methodology and portfolio effects
Braga, M. D.
;
Nava, C. R.
;
Zoia, M. G.
- In:
Quantitative finance
23
(
2023
)
3
,
pp. 453-469
Persistent link: https://www.econbiz.de/10014232668
Saved in:
7
Stress testing bank insolvency risk by systemic equity market shock : an expected shortfall approach
Yang, Hank Z.
- In:
Journal of risk management in financial institutions
16
(
2022/2023
)
3
,
pp. 211-227
Persistent link: https://www.econbiz.de/10014320203
Saved in:
8
Quantitative reverse stress testing, bottom up
Albanese, Claudio
;
Crépey, Stéphane
;
Iabichino, Stefano
- In:
Quantitative finance
23
(
2023
)
5
,
pp. 863-875
Persistent link: https://www.econbiz.de/10014304378
Saved in:
9
Life insurance surrender and liquidity risks
Chang, Hsiao-Yin
;
Schmeiser, Hato
- In:
Quantitative finance
22
(
2022
)
4
,
pp. 761-776
Persistent link: https://www.econbiz.de/10013367857
Saved in:
10
Risk contributions of lambda quantiles
Ince, Akif
;
Peri, Ilaria
;
Pesenti, Silvana
- In:
Quantitative finance
22
(
2022
)
10
,
pp. 1871-1891
Persistent link: https://www.econbiz.de/10013367959
Saved in:
11
Market risk calculation for private equity fund-of-funds
Henzler, Jörg
;
George, Constantine
- In:
Journal of risk management in financial institutions
11
(
2017/2018
)
4
,
pp. 328-360
Persistent link: https://www.econbiz.de/10011980279
Saved in:
12
Forecasting robust value-at-risk estimates : evidence from UK banks
Sampid, Marius Galabe
;
Hasim, Haslifah Mohamad
- In:
Quantitative finance
21
(
2021
)
11
,
pp. 1955-1975
Persistent link: https://www.econbiz.de/10012696799
Saved in:
13
Multivariate continuous-time modeling of wind indexes and hedging of wind risk
Benth, Fred Espen
;
Christensen, Troels Sønderby
; …
- In:
Quantitative finance
21
(
2021
)
1
,
pp. 165-183
Persistent link: https://www.econbiz.de/10012424641
Saved in:
14
Portfolio selection with tail nonlinearly transformed risk measures : a comparison with mean-CVaR analysis
Bergk, Kerstin
;
Brandtner, Mario
;
Kürsten, Wolfgang
- In:
Quantitative finance
21
(
2021
)
6
,
pp. 1011-1025
Persistent link: https://www.econbiz.de/10012515633
Saved in:
15
The dependence structure between equity and foreign exchange markets and tail risk forecasts of foreign investments
Kim, Minjoo
;
Yang, Junhong
;
Song, Pengcheng
;
Zhao, Yang
- In:
Quantitative finance
21
(
2021
)
5
,
pp. 815-835
Persistent link: https://www.econbiz.de/10012500192
Saved in:
16
Backtesting expected shortfall and beyond
Deng, Kaihua
;
Qiu, Jie
- In:
Quantitative finance
21
(
2021
)
7
,
pp. 1109-1125
Persistent link: https://www.econbiz.de/10012588022
Saved in:
17
Modifying model risk management practice in the era of AI/ML
Brotcke, Liming
- In:
Journal of risk management in financial institutions
13
(
2019/2020
)
3
,
pp. 255-265
Persistent link: https://www.econbiz.de/10012300956
Saved in:
18
On the definition of risk
Lemos, Filipe
- In:
Journal of risk management in financial institutions
13
(
2019/2020
)
3
,
pp. 266-278
Persistent link: https://www.econbiz.de/10012300957
Saved in:
19
Scenario analysis for derivative portfolios via dynamic factor models
Haugh, Martin B.
;
Lacedelli, Octavio Ruiz
- In:
Quantitative finance
20
(
2020
)
4
,
pp. 547-571
Persistent link: https://www.econbiz.de/10012194907
Saved in:
20
Regress under stress : a simple least-squares method for integrating economic scenarios with risk simulations
Rosen, Dan
;
Sounders, David
- In:
Journal of risk management in financial institutions
9
(
2016
)
4
,
pp. 391-412
Persistent link: https://www.econbiz.de/10011663120
Saved in:
21
On aggregate model risk management : focus on stress testing
Shi, Yan
;
Young, H. Walter
;
Cao, Ran
- In:
Journal of risk management in financial institutions
8
(
2015
)
2
,
pp. 171-195
Persistent link: https://www.econbiz.de/10011306352
Saved in:
22
Machine learning in risk measurement : Gaussian process regression for value-at-risk and expected shortfall
Wilkens, Sascha
- In:
Journal of risk management in financial institutions
12
(
2019
)
3
,
pp. 374-383
Persistent link: https://www.econbiz.de/10012131743
Saved in:
23
The top 14 challenges for today’s model risk managers : has the time come to think about going beyond SR11-7?
Hill, Jon R.
- In:
Journal of risk management in financial institutions
12
(
2019
)
2
,
pp. 145-167
Persistent link: https://www.econbiz.de/10012065278
Saved in:
24
Risk discriminating portfolio optimization
Deshpande, Amit
;
Ertley, Brian
;
Lundin, Mark
;
Satchell, …
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 177-185
Persistent link: https://www.econbiz.de/10012194647
Saved in:
25
Risk parity portfolio optimization under a Markov regime-switching framework
Costa, Giorgio
;
Kwon, Roy H.
- In:
Quantitative finance
19
(
2019
)
3
,
pp. 453-471
Persistent link: https://www.econbiz.de/10012194664
Saved in:
26
Deep hedging
Buehler, Hans
;
Gonon, Lukas
;
Teichmann, Josef
;
Wood, Ben
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1271-1291
Persistent link: https://www.econbiz.de/10012194788
Saved in:
27
How to choose the return model for market risk? : getting towards a right magnitude of stressed VaR
Lichtner, Mark
- In:
Quantitative finance
19
(
2019
)
8
,
pp. 1391-1407
Persistent link: https://www.econbiz.de/10012194794
Saved in:
28
Estimation of risk contributions with MCMC
Koike, Takaaki
;
Minami, Mihoko
- In:
Quantitative finance
19
(
2019
)
9
,
pp. 1579-1597
Persistent link: https://www.econbiz.de/10012194808
Saved in:
29
On the efficacy of stop-loss rules in the presence of overnight gaps
Arratia, Argimiro
;
Dorador, Albert
- In:
Quantitative finance
19
(
2019
)
11
,
pp. 1857-1873
Persistent link: https://www.econbiz.de/10012195656
Saved in:
30
The role of models in economics and risk management
Rowe, David M.
- In:
Journal of risk management in financial institutions
7
(
2014
)
2
,
pp. 103-109
Persistent link: https://www.econbiz.de/10010359522
Saved in:
31
Anticipating market model failure : competitive pressure and the mortgage backed securities market
Whitmore, Jean Czerlinski
- In:
Journal of risk management in financial institutions
7
(
2014
)
2
,
pp. 145-152
Persistent link: https://www.econbiz.de/10010360536
Saved in:
32
Assessment of model risk in the aggregate : contribution of quantification
Brotcke, Liming
;
Brastow, Raymond T.
- In:
Journal of risk management in financial institutions
12
(
2018/2019
)
1
,
pp. 16-43
Persistent link: https://www.econbiz.de/10012041830
Saved in:
33
An alternative to SMA : using through the cycle loss data to propose an "hourglass" solution
Grimwade, Michael
- In:
Journal of risk management in financial institutions
11
(
2017/2018
)
4
,
pp. 361-380
Persistent link: https://www.econbiz.de/10011980280
Saved in:
34
The validation of machine-learning models for the stress testing of credit risk
Jacobs, Michael <Jr.>
- In:
Journal of risk management in financial institutions
11
(
2017/2018
)
3
,
pp. 218-243
Persistent link: https://www.econbiz.de/10011942534
Saved in:
35
Visualisation of model risk propagation
Barett, James
- In:
Journal of risk management in financial institutions
11
(
2017/2018
)
1
,
pp. 67-75
Persistent link: https://www.econbiz.de/10011861020
Saved in:
36
Learning minimum variance discrete hedging directly from the market
Nian Ke
;
Coleman, Thomas F.
;
Li, Yuying
- In:
Quantitative finance
18
(
2018
)
7
,
pp. 1115-1128
Persistent link: https://www.econbiz.de/10011911526
Saved in:
37
Transaction costs and crowding
Chincarini, Ludwig Boris
- In:
Quantitative finance
18
(
2018
)
8
,
pp. 1389-1410
Persistent link: https://www.econbiz.de/10011911547
Saved in:
38
Liquidity risk in derivatives valuation : an improved credit proxy method
Sourabh, Sumit
;
Hofer, Markus
;
Kandhai, Drona
- In:
Quantitative finance
18
(
2018
)
3
,
pp. 467-481
Persistent link: https://www.econbiz.de/10011906396
Saved in:
39
Long-only equal risk contribution portfolios for CVaR under discrete distributions
Mausser, Helmut
;
Romanko, Oleksandr
- In:
Quantitative finance
18
(
2018
)
11
,
pp. 1927-1945
Persistent link: https://www.econbiz.de/10012262887
Saved in:
40
Risk contributions : duality and sensitivity
O'Cinneide, Colm A.
- In:
Quantitative finance
18
(
2018
)
12
,
pp. 2023-2033
Persistent link: https://www.econbiz.de/10012262948
Saved in:
41
An investigation of hypothetical variance-covariance matrix stress-testing
Rayer, Quintin
- In:
Journal of risk management in financial institutions
9
(
2016
)
3
,
pp. 264-288
Persistent link: https://www.econbiz.de/10011661846
Saved in:
42
Causal analysis of operational risk for deriving effective key risk indicators
Andersen, Lasse B.
;
Häger, David
;
Vormeland, Hilde B.
- In:
Journal of risk management in financial institutions
9
(
2016
)
3
,
pp. 289-304
Persistent link: https://www.econbiz.de/10011661856
Saved in:
43
Trade finance as a financial asset : risks and mitigants for non-bank investors
Kowit, Robert M.
;
May, William
;
Rengifo, Erick W.
- In:
Journal of risk management in financial institutions
9
(
2015/2016
)
1
,
pp. 59-70
Persistent link: https://www.econbiz.de/10011488828
Saved in:
44
Capital for concentrated credit portfolios
Kupiec, Paul H.
- In:
Journal of risk management in financial institutions
8
(
2015
)
4
,
pp. 314-322
Persistent link: https://www.econbiz.de/10011531169
Saved in:
45
Lessons learned from AQR : essential elements of the model review process
Beinker, Mark
;
Ivanov, Yuri
;
Mainik, Andreas
;
Irina, Ursachi
- In:
Journal of risk management in financial institutions
8
(
2015
)
1
,
pp. 76-82
Persistent link: https://www.econbiz.de/10010526456
Saved in:
46
Control without limits : why the "fundamental review of trading books" is a good step forward and how it could go further
Godart, Cyril
- In:
Journal of risk management in financial institutions
8
(
2015
)
3
,
pp. 297-307
Persistent link: https://www.econbiz.de/10011443591
Saved in:
47
Managing differences in economic and regulatory capital : an examination of return of equity (ROE) maximising strategies
Ozdemir, Bogie
;
Cubukgil, Evren
- In:
Journal of risk management in financial institutions
7
(
2014
)
4
,
pp. 328-344
Persistent link: https://www.econbiz.de/10011346972
Saved in:
48
Rumour has it : modelling credibility, reputation and franchise risk
Sobehart, J. R.
- In:
Journal of risk management in financial institutions
7
(
2014
)
2
,
pp. 161-173
Persistent link: https://www.econbiz.de/10010360518
Saved in:
49
Homo heuristicus in the financial world : from risk management to managing uncertainty
Neth, Hansjörg
;
Meder, Björn
;
Kothiyal, Amit
; …
- In:
Journal of risk management in financial institutions
7
(
2014
)
2
,
pp. 134-144
Persistent link: https://www.econbiz.de/10010360537
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50
From optimisation to resilience : the changing nature of the risk reward conversation as seen through Westpac's capital and liquidity management policies
Bosworth, Ed
;
Rich, Tony
- In:
Journal of risk management in financial institutions
6
(
2012/13
)
2
,
pp. 160-166
Persistent link: https://www.econbiz.de/10009737793
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