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Monte Carlo simulation
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Journal of risk
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1
The impact of compounding on bond pricing with alternative reference rates
Cziráky, Dario
;
Ponikvar, Ana
- In:
Journal of risk
23
(
2021
)
6
,
pp. 37-66
Persistent link: https://www.econbiz.de/10013473138
Saved in:
2
Bank leverage and capital bias adjustment through the macroeconomic cycle
Yeh, Andy Jia-Yuh
- In:
Journal of risk
23
(
2020/2021
)
1
,
pp. 33-99
Persistent link: https://www.econbiz.de/10012500106
Saved in:
3
Ultra-fast scenario analysis of mortgage prepayment risk
Theiakos, Alexios
;
Tas, Jurgen M. C.
;
Lem, Han van der
; …
- In:
Journal of risk
17
(
2014/15
)
3
,
pp. 19-33
Persistent link: https://www.econbiz.de/10011298889
Saved in:
4
Better risk and performance estimates with factor-model Monte Carlo
Jiang, Yindeng
;
Martin, Doug
- In:
Journal of risk
17
(
2014/2015
)
5
,
pp. 29-67
Persistent link: https://www.econbiz.de/10011438893
Saved in:
5
Recursive profit-and-los sharing
Mansour, Walid
;
Abdelhamid, Mohamed Ben
;
Heshmati, Almas
- In:
Journal of risk
17
(
2014/2015
)
6
,
pp. 21-50
Persistent link: https://www.econbiz.de/10011438920
Saved in:
6
Commodity risk hedging through risk sharing : reengineering Islamic forwards
Kafou, Ali
;
Chakir, Ahmed
- In:
Journal of risk
17
(
2014/2015
)
6
,
pp. 101-123
Persistent link: https://www.econbiz.de/10011438937
Saved in:
7
Identifying mixture copula components using outlier detection methods and goodness-of-fit tests
Weiß, Gregor
- In:
Journal of risk
16
(
2013/2014
)
4
,
pp. 61-101
Persistent link: https://www.econbiz.de/10013262930
Saved in:
8
Deriving the minimal amount of risk capital for property-liability insurance companies utilizing asset liability management
Schmautz, Matthias
;
Lampenius, Niklas
- In:
Journal of risk
15
(
2012/13
)
4
,
pp. 35-55
Persistent link: https://www.econbiz.de/10009771007
Saved in:
9
Fully flexible extreme views
Meucci, Attilio
;
Ardia, David
;
Keel, Simon
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 39-49
Persistent link: https://www.econbiz.de/10009422362
Saved in:
10
Monte Carlo market Greeks in the displaced diffusion Libor market model
Joshi, Mark S.
;
Kwon, Oh Kang
- In:
Journal of risk
14
(
2011/12
)
2
,
pp. 23-37
Persistent link: https://www.econbiz.de/10009422363
Saved in:
11
Are real investment decisions based on risk-adjusted performance measures consistent with maximizing shareholder value?
Lampenius, Niklas
- In:
Journal of risk
15
(
2012/13
)
2
,
pp. 77-101
Persistent link: https://www.econbiz.de/10009692939
Saved in:
12
Stochastic kriging for efficient nested simulation of expected shortfall
Liu, Ming
;
Staum, Jeremy
- In:
Journal of risk
12
(
2009/10
)
3
,
pp. 3-27
Persistent link: https://www.econbiz.de/10003970155
Saved in:
13
Evaluation of credit portfolio models : test statistics for density-based tests
Plank, Kilian
;
Walter, Roland
- In:
Journal of risk
13
(
2010/11
)
2
,
pp. 3-21
Persistent link: https://www.econbiz.de/10008807874
Saved in:
14
Compound scenarios : an efficient framework for integrated market-credit risk
De Prisco, Ben
;
Iscoe, Ian
;
Jiang, Yijun
;
Mausser, Helmut
- In:
Journal of risk
11
(
2008/09
)
2
,
pp. 3-38
Persistent link: https://www.econbiz.de/10003809404
Saved in:
15
Estimation and decomposition of downside risk for portfolios with non-normal returns
Boudt, Kris
;
Peterson, Brian
;
Croux, Christophe
- In:
Journal of risk
11
(
2008/09
)
2
,
pp. 79-103
Persistent link: https://www.econbiz.de/10003809417
Saved in:
16
Empirical likelihood for value-at-risk and expected shortfall
Baysal, Rafet Evren
;
Staum, Jeremy
- In:
Journal of risk
11
(
2008/09
)
1
,
pp. 3-32
Persistent link: https://www.econbiz.de/10003775644
Saved in:
17
Skewed Libor market model and Gaussian HJM explicit approaches to rolled deposit options
Henrard, Marc
- In:
Journal of risk
9
(
2006/07
)
4
,
pp. 95-116
Persistent link: https://www.econbiz.de/10003502689
Saved in:
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