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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Aktienmarkt"
~subject:"Calculation"
~subject:"Portfolio selection"
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Abken, Peter A.
1
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The journal of derivatives : the official publication of the International Association of Financial Engineers
Insurance / Mathematics & economics
105
Journal of banking & finance
81
European journal of operational research : EJOR
60
Journal of risk
56
Risks : open access journal
45
Finance research letters
43
International review of financial analysis
40
Economic modelling
36
The North American journal of economics and finance : a journal of financial economics studies
35
Quantitative finance
34
Journal of risk and financial management : JRFM
29
Applied economics
25
Discussion paper / Tinbergen Institute
25
International journal of theoretical and applied finance
22
Journal of economic dynamics & control
20
The European journal of finance
20
International review of economics & finance : IREF
19
Research in international business and finance
19
The journal of risk model validation
19
Computational economics
18
Energy economics
18
Journal of empirical finance
18
Finance and stochastics
17
Journal of international financial markets, institutions & money
17
Research paper series / Swiss Finance Institute
17
Management science : journal of the Institute for Operations Research and the Management Sciences
16
Operations research
16
Journal of mathematical finance
15
The journal of asset management
15
International journal of forecasting
14
Pacific-Basin finance journal
14
Econometric Institute research papers
13
Journal of econometrics
13
Scandinavian actuarial journal
13
The journal of credit risk : published quarterly by Incisive Media
12
Journal of forecasting
11
Journal of risk management in financial institutions
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Mathematical finance : an international journal of mathematics, statistics and financial theory
11
Mathematics and financial economics
11
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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
Analytical VaR and expected shortfall for quadratic portfolios
Yueh, Meng-lan
;
Wong, Mark C. W.
- In:
The journal of derivatives : the official publication …
17
(
2009/10
)
3
,
pp. 33-44
Persistent link: https://www.econbiz.de/10003961016
Saved in:
4
Second generation VaR and risk-adjusted return on capital
Rich, Don R.
- In:
The journal of derivatives : the official publication …
10
(
2003
)
4
,
pp. 51-61
Persistent link: https://www.econbiz.de/10001781764
Saved in:
5
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:
6
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
Saved in:
7
Value at risk for derivatives
Jahel, Lina el
;
Perraudin, William R. M.
;
Sellin, Peter
- In:
The journal of derivatives : the official publication …
6
(
1999
)
3
,
pp. 7-26
Persistent link: https://www.econbiz.de/10001432480
Saved in:
8
Techniques for verifying the accuracy of risk measurement models
Kupiec, Paul H.
- In:
The journal of derivatives : the official publication …
3
(
1995
)
2
,
pp. 73-84
Persistent link: https://www.econbiz.de/10001223182
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