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Take it to the limit: Innovative CVaR applications to extreme credit risk measurement
Allen, David E.; Powell, R. J.; Singh, Abhay Kumar - In: European journal of operational research : EJOR 249 (2016) 2, pp. 465-475
Persistent link: https://www.econbiz.de/10011436713
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Market risk management in a post-Basel II regulatory environment
Drenovak, Mikica; Ranković, Vladimir; Ivanković, Miloš; … - In: European journal of operational research : EJOR 257 (2017) 3, pp. 1030-1044
Persistent link: https://www.econbiz.de/10011641392
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Loss functions for Loss Given Default model comparison
Hurlin, Christophe; Leymarie, Jérémy; Patin, Antoine - In: European journal of operational research : EJOR 268 (2018) 1, pp. 348-360
Persistent link: https://www.econbiz.de/10011813102
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Capital allocation à la Aumann-Shapley for non-differentiable risk measures
Centrone, Francesca; Rosazza Gianin, Emanuela - In: European journal of operational research : EJOR 267 (2018) 2, pp. 667-675
Persistent link: https://www.econbiz.de/10011812548
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A theory of multivariate stress testing
Millossovich, Pietro; Tsanakas, Andreas; Wang, Ruodu - In: European journal of operational research : EJOR 318 (2024) 3, pp. 851-866
Persistent link: https://www.econbiz.de/10015048176
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Simulation methods for robust risk assessment and the distorted mix approach
Kim, Sojung; Weber, Stefan - In: European journal of operational research : EJOR 298 (2022) 1, pp. 380-398
Persistent link: https://www.econbiz.de/10013206852
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Accuracy of mortgage portfolio risk forecasts during financial crises
Lee, Yong Woong; Rösch, Daniel; Scheule, Harald - In: European journal of operational research : EJOR 249 (2016) 2, pp. 440-456
Persistent link: https://www.econbiz.de/10011436707
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Entropy based risk measures
Pichler, Alois; Schlotter, Ruben - In: European journal of operational research : EJOR 285 (2020) 1, pp. 223-236
Persistent link: https://www.econbiz.de/10012239544
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Risk neutral reformulation approach to risk averse stochastic programming
Liu, Rui Peng; Shapiro, Alexander - In: European journal of operational research : EJOR 286 (2020) 1, pp. 21-31
Persistent link: https://www.econbiz.de/10012239878
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A simulation-based method for estimating systemic risk measures
Ye, Wuyi; Zhou, Yi; Chen, Pengzhan; Wu, Bin - In: European journal of operational research : EJOR 313 (2024) 1, pp. 312-324
Persistent link: https://www.econbiz.de/10014456563