Search Results - subject:"conditional Value at Risk"

Limited downside risk in portfolio selection among US and Pacific Basin equities

Jansen, Dennis W. - In: International economic journal 15 (2001) 4, pp. 1-22

Persistent link: https://www.econbiz.de/10001636737

Modelling daily value-at-risk using realized volatility and Arch type models

Giot, Pierre; Laurent, Sébastien - 2001

Persistent link: https://www.econbiz.de/10001638521

Cross hedging and value at risk : wholesale electricity forward contracts

Woo, Chi-keung; Horowitz, Ira; Hoang, Khoa - In: Advances in investment analysis and portfolio … 8 (2001), pp. 283-301

Persistent link: https://www.econbiz.de/10001640903

The properties of downside risk measures

Breitmeyer, Carsten; Hakenes, Hendrik; Pfingsten, Andreas - 2001

Persistent link: https://www.econbiz.de/10001647293

Value at risk: teoría y aplicaciones

Johnson, Christian - In: Estudios de economía 28 (2001) 2, pp. 217-247

Persistent link: https://www.econbiz.de/10001656826

Welche Wertbeiträge liefert das Firmenkundengeschäft der Banken?

Rolfes, Bernd - In: Das Firmenkundengeschäft - ein Wertvernichter? : …, (pp. 1-26). 2001

Persistent link: https://www.econbiz.de/10001658144

Comparing different methods for estimating Value-at-Risk (VaR) for actual non-linear portfolios : empirical evidence

Coronado, María - In: Finance India : the quarterly journal of Indian … 15 (2001) 2, pp. 503-531

Persistent link: https://www.econbiz.de/10001729640

Überwachung von Marktpreisrisiken durch Value at Risk

Rau-Bredow, Hans - In: Wirtschaftswissenschaftliches Studium : WiSt ; … 30 (2001) 6, pp. 315-319

Persistent link: https://www.econbiz.de/10001579213

The Measurement of Market Risk : Modelling of Risk Factors, Asset Pricing, and Approximation of Portfolio Distributions

Moix, Pierre-Yves - 2001

The objective of this book is to set up an economic quantitative model for the assessment of financial market risk. The Measurement of Market Risk reviews the probabilistic modelling of so-called risk factors, which represent the uncertainty of financial markets, and discusses the issue of risk...

Persistent link: https://www.econbiz.de/10013519163

Pension metrics : stochastic pension plan design and value-at-risk during the accumulation phase

Blake, David (contributor); Cairns, Andrew (contributor); … - 2001 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10001539997