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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~language:"eng"
~subject:"Calculation"
~subject:"Optionsgeschäft"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
The European journal of finance
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Value at risk and expected shortfall improved calculation based on the power transformation method
Leccadito, Arturo
;
Toscano, Pietro
;
Tunaru, Radu S.
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 67-81
Persistent link: https://www.econbiz.de/10011311416
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2
A fast Monte Carlo algorithm for estimating value at risk and expected shortfall
Hsieh, Ming-Hua
;
Liao, Wei-Cheng
;
Chen, Chuen-Lung
- In:
The journal of derivatives : the official publication …
22
(
2014
)
2
,
pp. 50-66
Persistent link: https://www.econbiz.de/10011311418
Saved in:
3
Implied volatility indexes and daily value at risk models
Giot, Pierre
- In:
The journal of derivatives : the official publication …
12
(
2004
)
4
,
pp. 54-64
Persistent link: https://www.econbiz.de/10003010792
Saved in:
4
An empirical evaluation of value at risk by scenario simulation
Abken, Peter A.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
4
,
pp. 12-29
Persistent link: https://www.econbiz.de/10001500033
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