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How robust is the value-at-risk of credit risk portfolios?
Bernard, Carole; Rüschendorf, Ludger; Vanduffel, Steven; … - In: The European journal of finance 23 (2017) 4/6, pp. 507-534
Persistent link: https://www.econbiz.de/10011736292
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A stein type lemma for the multivariate generalized hyperbolic distribution
Vanduffel, Steven; Yao, Jing - In: European journal of operational research : EJOR 261 (2017) 2, pp. 606-612
Persistent link: https://www.econbiz.de/10011738057
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Closed‐form approximations for spread options in Lévy markets
Van Belle, Jente; Vanduffel, Steven; Yao, Jing - In: Applied Stochastic Models in Business and Industry 35 (2018) 3, pp. 732-746
Persistent link: https://www.econbiz.de/10012272410
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An approximation method for risk aggregations and capital allocation rules based on additive risk factor models
Zhou, Ming; Dhaene, Jan; Yao, Jing - In: Insurance / Mathematics & economics 79 (2018), pp. 92-100
Persistent link: https://www.econbiz.de/10011825398
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Gambler's attention and the mean-variance relation : evidence from China
Yao, Jing; Wu, Lingyan - In: Finance research letters 23 (2017), pp. 233-238
Persistent link: https://www.econbiz.de/10011808404
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Multivariate risk measures based on conditional expectation and systemic risk for Exponential Dispersion Models
Shushi, Tomer; Yao, Jing - In: Insurance / Mathematics & economics 93 (2020), pp. 178-186
Persistent link: https://www.econbiz.de/10012294094
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Risk-return tradeoff and serial correlation in the Chinese stock market : a bailout-driven crash feedback hypothesis
Yao, Jing; Yang, Yiwen - In: Economic modelling 129 (2023), pp. 1-13
Persistent link: https://www.econbiz.de/10014472100
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The threshold effect of climate risk and the non-linear role of climate policy uncertainty on insurance demand : evidence from OECD countries
Liu, Bing; Yin, Weijun; Chen, Gang; Yao, Jing - In: Finance research letters 55 (2023) 1, pp. 1-9
Persistent link: https://www.econbiz.de/10014472976
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Pricing airbag option via first passage time approach
Liu, Zheng; Qian, Xiaosong; Yao, Jing; Dong, Yinghui - In: Quantitative finance 24 (2024) 7, pp. 955-974
Persistent link: https://www.econbiz.de/10015050807
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On the pricing of vulnerable Parisian options
Liu, Zheng; Li, Dongchen; Qian, Linyi; Yao, Jing - In: Finance research letters 68 (2024), pp. 1-12
Persistent link: https://www.econbiz.de/10015063624