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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Aktienmarkt"
~subject:"Calculation"
~subject:"Messung"
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Insurance / Mathematics & economics
104
Risks : open access journal
31
European journal of operational research : EJOR
28
Journal of risk
26
Journal of banking & finance
25
Finance research letters
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International review of financial analysis
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The North American journal of economics and finance : a journal of financial economics studies
17
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International journal of theoretical and applied finance
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Scandinavian actuarial journal
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Journal of international financial markets, institutions & money
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The journal of risk model validation
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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International review of economics & finance : IREF
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Management science : journal of the Institute for Operations Research and the Management Sciences
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Operations research
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Operations research letters
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Pacific-Basin finance journal
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Research paper series / Swiss Finance Institute
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ASTIN bulletin : the journal of the International Actuarial Association
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Applied economics letters
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Computational economics
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Emerging markets review
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Journal of financial econometrics
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Mathematical finance : an international journal of mathematics, statistics and financial economics
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Research in international business and finance
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Astin bulletin : the journal of the International Actuarial Association
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Risk measures for the 21st century
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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
What exactly does credit VaR measure?
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
9
(
2002
)
3
,
pp. 46-59
Persistent link: https://www.econbiz.de/10001708437
Saved in:
4
Beyond the VaR
Longin, François M.
- In:
The journal of derivatives : the official publication …
8
(
2001
)
4
,
pp. 36-48
Persistent link: https://www.econbiz.de/10001613579
Saved in:
5
Risk capital and VaR
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
7
(
2000
)
2
,
pp. 41-52
Persistent link: https://www.econbiz.de/10001497765
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