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The analysis of bank business performance and market risk : applying Fuzzy DEA
Chen, Yu Chuan; Chiu, Yung-ho; Huang, Chin Wei; Tu, … - In: Economic modelling 32 (2013), pp. 225-232
Persistent link: https://www.econbiz.de/10009761543
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Fuzzy value-at-risk and expected shortfall for portfolios with heavy-tailed returns
Moussa, A. Mbairadjim; Kamdem, J. Sadefo; Terraza, Michel - In: Economic modelling 39 (2014), pp. 247-256
Persistent link: https://www.econbiz.de/10010421851
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On the isolated impact of copulas on risk measurement : asimulation study
Berger, Theo - In: Economic modelling 58 (2016), pp. 475-481
Persistent link: https://www.econbiz.de/10011647502
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Modelling the spreading process of extreme risks via a simple agent-based model : evidence from the China stock market
Ji, Jingru; Wang, Donghua; Xu, Dinghai - In: Economic modelling 80 (2019), pp. 383-391
Persistent link: https://www.econbiz.de/10012200735
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Foreign exchange risk in a managed float regime : a case study of Pakistani rupee
Mudakkar, Syeda Rabab; Uppal, Jamshed Y.; Zaman, Khalid; … - In: Economic modelling 35 (2013), pp. 409-417
Persistent link: https://www.econbiz.de/10010259786
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Operational risk of option hedging
Mitra, Sovan - In: Economic modelling 33 (2013), pp. 194-203
Persistent link: https://www.econbiz.de/10010191991
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Markets liquidity risk under extremal dependence : analysis with VaRs methods
Ourir, Awatef; Snoussi, Wafa - In: Economic modelling 29 (2012) 5, pp. 1830-1836
Persistent link: https://www.econbiz.de/10009667092
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Energy price transmissions during extreme movements
Joëts, Marc - In: Economic modelling 40 (2014), pp. 392-399
Persistent link: https://www.econbiz.de/10010425586
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A portfolio-invariant capital allocation scheme penalizing concentration risk
Kao, Lie-Jane - In: Economic modelling 51 (2015), pp. 560-570
Persistent link: https://www.econbiz.de/10011476155
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Tail risk under price limits
Oh, Sekyung; Kee, Hyukdo; Park, Kinam - In: Economic modelling 77 (2019), pp. 113-123
Persistent link: https://www.econbiz.de/10012198437