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isPartOf:"The journal of derivatives : the official publication of the International Association of Financial Engineers"
~subject:"Calculation"
~subject:"Portfolio selection"
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Abken, Peter A.
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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
78
European journal of operational research : EJOR
60
Journal of risk
55
Risks : open access journal
44
Finance research letters
39
Quantitative finance
34
Economic modelling
30
International review of financial analysis
28
The North American journal of economics and finance : a journal of financial economics studies
27
Journal of risk and financial management : JRFM
26
Discussion paper / Tinbergen Institute
24
International journal of theoretical and applied finance
22
Applied economics
20
Journal of economic dynamics & control
19
The European journal of finance
19
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18
Journal of empirical finance
18
The journal of risk model validation
18
Finance and stochastics
17
Research in international business and finance
17
Research paper series / Swiss Finance Institute
17
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16
International review of economics & finance : IREF
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Management science : journal of the Institute for Operations Research and the Management Sciences
15
The journal of asset management
15
Econometric Institute research papers
13
International journal of forecasting
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Journal of econometrics
13
Journal of international financial markets, institutions & money
13
Scandinavian actuarial journal
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The journal of credit risk : published quarterly by Incisive Media
12
Energy economics
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Journal of mathematical finance
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Journal of risk management in financial institutions
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Mathematical finance : an international journal of mathematics, statistics and financial theory
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Mathematics and financial economics
11
Operations research letters
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Working papers
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Journal of financial econometrics : official journal of the Society for Financial Econometrics
10
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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
Saved in:
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
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:
6
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:
7
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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